No - MS will only need to release any changes they make to R.
This sort of thing comes up quite often and largely comes down to coupling. If Microsoft included R code in the binary of SQL Server then they would run into complications. However as long as they keep R on its own and arrange interprocess communication sensibly, they will not be affected by the GPL.
It's quite likely MS will modify R, e.g. writing low level routines for getting data out of SQL without needing to go via ODBC and those sort of changes will need to be released. It's also possible MS will want things like .RData readers for putting into SQL and similar - and they might choose to do a clean-room implementation of such bits rather than calling out to R for the loading code in order to avoid too tight coupling.
Incidentially, this has been done before. The PgR project gives Postgres (BSD) has tight coupling with R (GPL) without requiring Postgres to be relicenced. Tableau also released similar features, though they don't add much value at this stage.