A colleague of mine can't start the game because it says he has to be logged in with xbox live even though he has the game on steam.
The Steam version also requires an Xbox Live account to play. But this is free.
The chargeable Xbox Live Gold is not necessary.
Source: https://www.seaofthieves.com/de/news/sea-of-thieves-steam-f-a-q
He has an account at microsoft
where exactly can he now link the account with the game?
He should try to install the Xbox app from the Microsoft store on the PC. This serves as a kind of launcher for Microsoft games. Even if you play the game on Steam, you may need this launcher