It's helpful to think of OpenAI as Microsoft's R&D lab for AI without the political and regulatory burdens that MSR has to abide by. Through that lens, it's really all just the same thing. There is no endgame for OpenAI that doesn't involve being a part of Microsoft.

IIRC it is impossible for OpenAI to become part of Microsoft since the incorporation documents of the for-profit bit of OpenAI prevent anyone from having a majority of the shares (except the non-profit foundation, of course).

Yes, their corporate structure is unprecedented. Very weird and unintuitive.

I'm quite positive that can be addressed when the time comes.

There will probably be overlap. If you are an Azure customer you use Azure, if not you use OpenAI.

It's Azure all the way down. The OpenAI stuff is certainly hosted on Azure.