As I mentioned in the other thread, we can export via Syslog in a number of formats using Log Exporter.
Whether Microsoft can parse our logs or not is a separate question that will have to be taken with them.
From the work I've seen with other SIEM vendors, its possible one or both ends will have to make modifications for such an integration to work seamlessly.
I have no doubt we can work with Microsoft on this if there is sufficient demand/
I would highly recommend bringing this request through your local Check Point office as well as your Microsoft office.