The question that stays is: if someone doesn't want to have their work used to train a machine, how that person can do that? Is it possible for someone to ask GitHub to remove their code from training? Or is it not arbitrary? If not, someone that does not want to have their work used would need to move their repositories to another platform that would block it.

remove your code from GitHub; that's the most reliable way you can have your license respected. There are many other git hosting services you can use, perhaps @codeberg #codeberg or #sourcehut.

what would stop them from scraping open source code from other hosting platforms for training Copilot?

Nothing, as far as I know, unless you could block it anyway. Maybe requiring to approve the accounts before letting have access to the code.

The service could wall off the code to those with accounts like you said, they could rate limit requests to make it infeasible to scrape the whole service, they could simply firewall GitHub IPs, etc.

At least for not it seems like Microsoft is only interested in code that is already on GitHub though.

“walling" FOSS?

Am I the only one bewildered by this idea?

Not really, the GPL already "walls" several uses of the licensed code. Now if we were talking about the WTFPL, it would be bewildering.