I don't believe servers actually have this level of hardware protection to be honest. Physical protection, as someone else pointed out, on the other hand.

If hacking the xbox goes wrong, the hacker will short out the console. If hacking Azure goes wrong, the hacker will get shot.

That game console isn't in a data center with CCTV coverage, mandatory access control, guards, and employees with background checks. If somone is soldering wires to your server and doing fault injection something has gone very wrong. Azure Government customers also don't have to worry about the NSA demanding access.

When your hardware is in the physical custody of the attacker, the threat model changes significantly. Designing a console that takes years for attackers to crack is an impressive feat of engineering.

The point of the gaming console is to get hacked, because that's how they develop the security techniques that metastasize over to strangle general-purpose computing, which is the real goal. Device attestation is a perfect example of this.