Honestly, I am not all that surprised.
I also speak as a former Xbox fan, I had the original Xbox at launch in 2001, and I recall the controversy over Microsoft developing a console and some of the comments that it was simply a PC and that gamers wanted a console, regardless, I took the dive. While some of the launch titles were nice, the Xbox always lacked what the ps2 had in regards to third party games and even exclusives, but innovation and the customer base was pushing for the controversial broadband only online gaming, something of course dreamcast had the capability to do with online gaming as well. The only exception was I was glad the Xbox had some nice fighting games as well as shenmue 2 at the time, and without the Xbox, I would not have had the opportunity to try shenmue 2, but it would be foolish to not realize how much damage it actually did to shenmue and why shenmue 3 may have never seen the day because of Microsoft.
We all know that Peter Moore jumped ship and pretty much killed the dreamcast, obviously shenmue had a rocky start having to go from the sega Saturn practically complete and then developed for the dreamcast, by the time shenmue 2 was released, Peter Moore pretty much canceled the game from coming out to the U.S. And we had to wait an entire year for it to come to Xbox splitting the fanbase, on top of that, Microsoft was supposed to market shenmue 2 at the time. I do remember a trailer on Xboxs website at the time and I do remember in official Xbox magazine there was a small demo of qte action, but outside of that, most of the Xbox gamer base either wasn't interested in shenmue, or there was barely any marketing or information about the game, it was just kind of thrown out there with no real exposure to the degree halo or some other top aaa game was given exposure, shenmue never got the respect it deserved from Microsoft and it probably didn't help that most Xbox gamers had not played the original game.
Most of the Xbox fanbase at that time was primarily into halo, or mech assault or some other Xbox live title, ninja gaiden, or the various fighter and sports games, that was the direction Microsoft was headed while Sony was more focused on the gta series, resident evil and silent hill, RPGs, racing games, simulators, etc. even many of the nice looking games that were exclusive to Japan for Xbox never came over to the U.S. All in attempt for Microsoft to win over the Japanese market.
The very fact is that there is little to no surprise that Microsoft probably secured the title to prevent anyone else from getting it as Sony was securing deals with all the exlusives at the time.
By the time the Xbox 360 came out, it was a clear that they were attempting to shift into a primary role of online gaming, fps and sports games. Even the Xbox live community represents the gamer base that they don't respect the general single player games or story driven games, it exists but it is practically in the lower tier. You can see this on any gaming forum be it gamefaqs or gamespot and the lack of respect for a game like shenmue.
I stopped supporting Xbox after my gamer tag was stolen and Microsoft literally did nothing about it despite the fact my security information was breached and a call center agent provided information on my account without proper authentication, and the general business practices of my Xbox 360 falling out of warranty thanks to the poor quality printed circuit boards and solder on the first batch of Xbox 360s.
Honestly, I am glad that Microsoft is not getting the game, it sucks for the fans, but the amount of damage that was caused, the lack of marketing, the wait we had to endure to get the game, and the lack of respect from the general fanbase, I really believe that it was the right decision as shenmue should be enjoyed by gamers who appreciate the series and I am sure the Sony and PC market will appreciate such a rich game moreso than the general Xbox fanbase. This is nothing against Xbox gamers, but if you know the history, then you will understand why we have been waiting as long as we have. Perhaps if shenmue 2 had been released in the U.S. For dreamcast, it would have been a different story.