When you are obligated by law to produce the required information then this is how it is. If you have placed the information out of reach for you to get it, or only refuse to get it, then it has got a fair chance to turn into an obstruction of justice and you will find yourself in even more trouble.
The information has not been placed out of reach by MS, it never was in the US. Nor is it MS's information - it is information belonging to one of their customers that happens to be stored on MS servers (that "cloud" thing) - outside of the US.
MS have made a big selling point of their Irish data centre location being in-EU for projects (including government stuff) that have data subject to EU rules where, in law, it may not be sent outside the EU. If MS-Ireland (or whichever MS-co it is) suddenly starts sending data to MS (US) just because head office requested it, then I think a lot of big EU contracts become invalid and/or a lot of big EU projects suddenly become illegal under EU law.
Your problem with posturing about "it is you who will be judged and sentenced by the court" is that it also applies if they do ship their customer's personal data out of the EU in breach of EU laws, it is just that they will then be judged and sentenced by a different court.
Stupid thing is there is a perfectly easy and logical way to do this - simply get a court order (warrant) for the data where it is, in Ireland, from an Irish court. All the EU data protection etc. laws allow for data to be released by court order in the right jurisdiction. So why won't the DOJ do that ?
Couldn't possibly be that they are just on a fishing expedition that they couldn't possibly get past any court where the judge isn't already in their pocket ?