Yes, that shows live weather radar and infrared data across the world. The data comes from AccuWeather.
Weather details for specific locations, both current and forecast data, can be retrieved using one of the many Weather services here: https://learn.microsoft.com/en-us/rest/api/maps/weather?view=rest-maps-2024-04-01 Note that these services are not a visual overlay, but raw data. It is possible to display their info on the map, but it requires making a request for each location you want to appear on the map which can get expensive.