The taxes on returning profits to investors via dividends are quite high. You’d be looking at the corporate tax rate (35%) + the dividend tax rates (between 15 and 35%). For any company which may need to raise equity finance later, this is an awful deal - but growing a cash balance doesn’t do the job either.

So MSFT is effectively getting 2x the equity by putting money into OpenAI, it also conveys some financial engineering capability as they can choose to invest more when profits are high to smooth out cash flow growth.