Managing personal Outlook.com account settings, security, and privacy
Hi Jeffrey, you can, indeed, get your personal data from Microsoft, here is a simple walkthrough.
You need to go in your Microsoft account, then in the Privacy Tab on the left, scroll down a bit and click on contact our privacy team (you can see that link on your screenshot). You will be taken to Privacy support and requests, scroll down to Contact the Microsoft privacy team or the Microsoft Data Protection Officer, then click Make a request related to a personal Microsoft account, you will be taken back to your account in Submit a Privacy Request. In Select your request, select "Export my data", a new area will show up, then select your country from the your Country or region dropdown and tick the "I confirm that I am signed in to my Microsoft account and that I want Microsoft to export my personal data.". Finally, click "Submit". You will then be taken to an acknowledgement screen that will let you know that the request will take up to 30 days to complete, which is in line with time limits for responding to data protection rights requests.
Hope this helps!