Microsoft is "exiting" console space due to their own incompetence and they will have a dual use console/PC (in multiple configurations). Handheld is just one of the options.
Microsoft also has 2nd biggest datacenter environment in the world, they own very big "data pipes", they have the expertise and equipment to run cloud based systems at the least cost possible compared to Nintendo and Sony.
Sony is "rumored" to have a a handheld, perhaps to act as a cheaper/hybrid device as they try to ape Nintendo. They will still have PS6 a proper main console. Steaming for them is much more expensive because they simply don't have the data centers, bandwidth connections or expertise that MS has. Like
Topher
pointed out, cost can add up quickly.
Nintendo went to hybrid because they failed at selling a proper console for three generations with N64, GameCube and WiiU. And Wii sales tapered out quick once the novelty wore off.
It made sense for Nintendo to double down on their strength in handheld and get out from competing on normal console level.
And cloud costs can indeed blow up fast if you are "renting" from hyperscalers.
Co-loc costs are also increasing like crazy thanks to AI boom. It's hard to get decent datacenter space at reasonable price.