Microsoft has this built-in using Claude models (for M365 Copilot licensed users). I don't know why you'd use this as an M365 subscriber in an enterprise. I'm sure there's some edge cases, but MSFT has been moving away from OAI. Even Copilot Studio agents now default to Sonnet 4.6 and not GPT 5.
MSFT also has a stake in Anthropic (although much less than 27%) and they host Anthropic models in Foundry now. The end game for MSFT has always been being the compute provider, so MSFT is just as happy to use any model as long as it's running in Foundry.
Based on my discussion with DSEs, enterprises have not been impressed in the results of "Copilot", i.e. OAI models. MSFT has been replacing (or changing the default) to Claude across a variety of Copilot endpoints.