Attachment downloads apparently from a foreign third party

When I download an attached document in Outlook.com, the browser tells me it is downloading from bay172.afx.ms.  This is apparently a website registered in Montserrat (in the Carribean).  I don't know what organization AFX is.  Or is this the unfortunate result of someone in Microsoft thinking it would be cute to register microsoft servers at a country that has a code with the same two letters as an abbreviation for Microsoft?  If so, it seems like poor security practice, since the domain, and probably DNS servers, would be operated by a foreign entity, and could be redirected to another location.  Thanks for your help from anyone who might know about this.  - John