To be fair, if every install of Excel started installing a full docker container of Python, anaconda, scikit, statsmodels, pandas, Matplotlib, seaborn, and more people would complain Excel is far too bloated.
They probably could make it an optional local install, but it sounds like focused on UX first and wanted collaborators on Teams to have the same experience which would maybe be harder with mixed local installs and cloud containers.
We totally understand that there are folks who want local in addition to cloud. But local is a very hard security problem. We needed to ship something to see if we have product market fit, so we prioritized that first.
Disclosure: I work on the design of the integration.
Reading the headline, I initially thought that Microsoft bought the company behind XLWings [1], which also enables you to use Excel directly within Excel, even locally. Not affiliated in any kind to that company, just used it in the past.
Bummer. Was hoping it would be local instead.