On Azure Bing Entity Search API's Privacy Page you can request and collect all the privacy and GDPR related information that Azure Bing Entity Search API is providing.
The privacy policy by is a legal document or statement that discloses how Azure Bing Entity Search API gathers, uses, discloses, and manges their customers' data.
The basis for Microsoft sharing, adding, uploading, hosting, accessing or sending personal data out of Europe. Vendors can also add a description of their own impact assessment for data transfers.