Absolutely, style is important. Especially when it comes to things like indenting and whitespace. Code should be easily readable by a person, since it is a person that has to maintain that code later. The more readable the code is, the easier it is to maintain and the higher the quality of that code will eventually become.
There is a psychological factor that comes in to play with code style. When the code is "ugly" and hard to read/understand you want to take less ownership of that code, so there is less personal incentive to do your best work. As the code becomes more readable/easy to understand, you feel better about the work you've done and want to take more ownership. The more ownership of the code you feel, the more personally important it becomes to write better code.
As far as how Microsoft responded, I would have responded in exactly the same way. I think their response of not calling him back was probably perfectly justified (and there may have been other factors than the lack of code style, although I'm sure that was a contributor).