I'm always wary/suspicious of site that check passwords (regardless if it is Microsoft), if you ever did use it to check you should never use that password as effectively it could be captured. By all means check that the style of password format a mixture of upper/lower case, numbers, some other characters #_~ (if they are accepted) and at least 10 or larger.
But these checkers are essentially redundant if you use a password manager that creates random passwords.