A potential Sega acquisition makes sense to us solely because we're not in Japan, frankly.
Yakuza 7 is a next gen exclusive to XBox, and (if that infographic from earlier is to be believed), it didn't make a difference. Still getting outsold by the PS4. The PS4.
Those don't become system sellers for Microsoft because the Japanese public just doesn't seem interested in the rest of the XBox lineup. They REALLY tried with JRPGs in the 360 generation, which was the height of the brand's popularity and quality. Still didn't matter.
So, from a Japanese standpoint, it'd be easy to see how they would think this would ultimately damage their two best brands right now (Persona and Yakuza) if they went exclusive worldwide. They'd really only protect themselves if, for some crazy reason, the games didn't go exclusive, or went exclusive everywhere BUT Japan. Doing either of those really doesn't help them break into Japan the way they seem to want to.
If anything, they'd be better off attempting to establish a Japanese studio with maybe some poached talent.