After entering your sign-in details and password you will be shown the following screen. Once you click 'Sign in', you will then be prompted to then enter your Xbox Live account details. When you boot Sea of Thieves for the first time and progress to the 'Start Game' screen, when you attempt to progress past the screen a 'Sign in to Xbox Live' dialog box will be shown. Linking an Xbox Live account to Steam from within the game You can check that it is and also create an Xbox Live account if required by clicking here. Though you may have a Microsoft account already, your Microsoft account must also be signed up to Xbox Live. But also if you unlink that account and use another, you will no longer have access to the original accounts progress or items until you relink back to that account. So progress made and items earned using that account on other platforms will also be available through Steam. Please Note - Your game progress is linked to your Xbox Live account.
Below are the steps which are required to link as well as unlink your Xbox Live account when required.
When you boot Sea of Thieves through Steam, you will need to link an Xbox Live account to your Steam profile before you can enter gameplay.