Does it work with Microsoft Advertising and Clarity?

Yes. Both are held back until a visitor agrees, Microsoft Advertising's UET tag as Advertising and Clarity as Measurement, and both are told each visitor's answer in the form Microsoft asks for: UET's consent mode (ad_storage, denied until somebody agrees) and Clarity's consent API (ad_Storage and analytics_Storage). Only on pages that carry them, on every page, and again whenever the answer changes. It is on by default, under Settings → What it does → Tell Microsoft's own tags what they may do.