As far as I am aware, neither Valve nor the independent Wine/Proton developers are bound by any licensing agreements with Microsoft. They are clean-room implementing the same technologies, but they are not beholden to Microsoft in any legal way. Of course, drastic changes in laws or policy regimes could alter this dynamic, but those are out-of-context risks.

In order for Microsoft to rug-pull the technology (which is quite different from rug-pulling the business model), they'd have to break compatibility on Windows itself. Video games remain a major reason for home users to run Windows. Making ABI-breaking changes to Win32 or DirectX is just not very likely to happen. And if it did happen, it would be a boon to Valve and not a harm.

The biggest risk (and this would be a classic Microsoft move, to be fair) I can foresee is aggressive API changes that make it hard for Valve/Wine/Proton to keep up but also make it hard for game developers not to. I'm not exactly sure what this would look like, and a lot of the core technologies are pretty stable by now, but it's a possibility. It's not, however, going to harm anything that already exists.