Yes, but they aren’t getting screwed. No more than me buying a game on PC, then expecting to get the PS4 version too.
MS Store, and Steam are two different software distribution platforms. Buying on one doesn’t entitle you to the other.
The benefit of the MS Store purchase is that you can use it on PC, and XBox. They didn’t have to do that, but they chose to. They own the platform, they can do what they want with it. Valve don’t have that luxury.