Something is missing from this reaction: AI.
MS is buying a privileged access to billions lines of code with their history and corrections. In 5-10Y times most code will be produced by AI and the simplest way to train a AI system is to to have access to data. That's what they bought, data. Unfortunately this is another step towards more concentration in IT...
(IANAL)
In Europe, software is not patentable unless there is a kind of physical/technical effect that goes beyond the normal interaction between the program and the computer.
The usual example is the software to control a anti-lock braking system: as there is a technical effect, it is patentable...
I am in the same process as you and also thinking of Luxembourg.
Alternatively have you considered Switzerland (and some specific cantons like Zug ) in your research ?