My previous job, yes! A few people had that fight years before I started and won. It was decided on the basis that we're Linux sysadmins who already operate a sizeable fleet of Linux systems and running our own desktops would be beneficial and self-supported.
Sadly my current employer doesn't share this view. We used a crippled Linux desktop through Apache Guacamole which is a bit average to say the least. I have to put up with the constant bullshit that is Windows and all of its ads, news headlines and trash that I don't want on my computer at work. I hate it but I have very little influence in that space.
Your work computer likely contains personally identifiable information. Microsoft very likely has a significant profile on what you do at work and could conceivably link that to your other identities outside of work.
Are they actually doing that? It's hard to say. Microsoft does have relationships with data brokers like Snowflake Inc. and SCUBA plus its own internal capabilities like Xandr Inc.
Cross pollination is more than possible when employees use personsal devices to login to work accounts. Most of the people that I work with login to Slack on their personal device using Microsoft Entra SSO.