A tool for managing user identities, credentials, and access across on-premises and cloud environments
No, they were not cyber security agents from Microsoft, and whatever they did to your computer, it was not healthy for it.
I would recommend that you find someone who can help you to reformat the disk and reinstall everything. If you are really lucky, you have an insurance that covers this. (You can at least ask your insurance company.)
And, yes, reporting to the police is absolutely worth doing. Although both names and numbers may be fake.