Hey there, characters are permanently locked to the account under which they are created, there's no form of transfer; either to another Microsoft account or to the linked Steam account. They'll always belong to your XBox account.
As long as cross-save remains set up (and in fact, it's now impossible to cancel it), your characters will still be playable via Steam and should not be in any danger - while they're tied to your XBox account, your account data is stored by Bungie not Microsoft. Have you tried playing them there, or do you see another kind of error, like a 'Not so fast..' message?
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Right. This is what I feared. I can log in through Steam and see the characters. It is just linked to a Microsoft account I don’t think I’ll be able to touch again. Meaning I am thinking long term if that Microsoft account ever is purged or I try to make a new one to move on; if I am stuck or not? Thanks much.
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If the account is purged by Microsoft, then nothing on Bungies end will change in regards to it as Bungie aren't deleting characters/gear etc tied to deleted platform accounts. Your characters/gear etc are held by Bungie rather than Microsoft. If you were to create a new Xbox account you wouldn't be able to access your current Xbox characters on it as you cannot have more than 1 Xbox account in a cross-save setup. You also cannot move any of your currently linked accounts (Steam or PSN) over to what would be a new Bungie.net account that the new Xbox account would be tied to due to the March 25th linking change permanently disabling the ability to platform accounts (except Twitch).