"If the reason for the alleged data theft is to benefit the new employer (MS) then why are they co-operating with the Intel investigation, or am I missing something obvious?"
For starters, the goal could have been to benefit Microsoft, but could also be to benefit the employee as in "That guy always gets the good prices from Intel. Let's give him a raise". Someone stealing information might want to avoid telling the new employer that he's going to use illegal means to benefit them; they might be pleased and go along with the crime, but they might turn him in. Much safer just to help them without telling them what you're doing, bag the rewards, and have the ability to do the same with someone else in case they don't give you as much reward as you want. I think it's more likely that Microsoft was surprised to here this happened rather than expect the corruption to go to the top.
Meanwhile, whether that's the case or Microsoft wanted to commit the crime, it's dangerous not to go along with the investigation. Stealing data is illegal. If they can claim that Microsoft did it, Intel gets a ton of money and Microsoft gets investigated by law enforcement. Microsoft isn't going to let that happen. Also, if this ever happens in reverse, Intel will help Microsoft investigate too. No reason to throw that away.