The biggest issue is probably the private repos, used by companies for their internal source code, falling into the hands of one of the Internet giants (whichever it is - it would largely be the same for Google, Apple or Amazon; Facebook's not really into coding in the first place). Even larger potential for industrial spying than with an independent Github, and an unfair advantage against competitors wrt. Azure integration (well, they'd better provide GCE and AWS integration at the same time if they want to avoid that pitfall) + LinkedIn integration (no alternative with remotely similar popularity).
Companies moving to their private Gitlab / Gerrit / similar instances would just be doing what they should have done much earlier.
Also, some people think that this move makes MS (even) more vulnerable to censorship, especially China's censorship: https://twitter.com/i/web/status/1003397774908559360
My main TI community projects are in the process of being imported to Gitlab, though I'll probably continue updating both sides for a while.