Clicking an unknown link shouldn't result in compromise. Fortunately, MS-Windows disallows running anything not vetted by MS unless you figure out how to bypass the "SmartScreen" filter. This filter is super annoying to many a techie or gamer, but for MS-Windows refusing to run "unknown" programs is a feature, not a bug.
So yes, MS will likely denounce this as not their problem and move on.
So yes, MS will likely denounce this as not their problem and move on.