timppu: It is not relevant where the data is "physically", but who controls it and who has access to it. Unless you are really suggesting that MS will be unable to see and hand over data from e.g. the European servers to whoever they want.
That concern while quite valid, it can be said for every web service. I think the idea of creating a trust between services and users / partners plays a big role here. Everything done on the Internet is being done based on that "trust". For all we know, GOG can be storing our credit cards' information and waiting for their opportunity for world domination.
Thus I think that the physical location of the data is something to be more concerned about, as it can be something that we directly influence, although in a way, it is still based on that same trust.
timppu: I think MS foolishly thought that all the millions of PC users would gladly jump to walled-garden Windows RT, just because it is also from Microsoft. Think again.
According to Larson, one of the goals long-term is to somehow produce just two "consumer-facing" OSes (if I remember this correctly). One for x86 that would offer everything that it offers now, and the other for ARM which would be a more locked-down version. Thus, in a way, merging WP and Windows RT into one.
We'll have to see how this turns out.