How prestigious is a Microsoft Research scholarship
Instead of worrying about how prestigious the award is on its own, ask yourself what type of research you're going to conduct using the funds. In the end, nobody will care that your research was funded by Microsoft or Google or the NSF (or whatever the UK version of that is); they'll care about the contribution you're making to the field.

Nobody is going to stop you at a job talk and say, "Well, your research is amazing, but I think you should have applied for funding from X-Company."

Barring any ethical issues, funding is funding. As long as you put it to good use, you should be in good shape!