Does Xbox / Microsoft actually do anything about cheaters?

I understand your frustration, but there are some things to keep in mind. Activision, the publisher of the Call of Duty franchise, runs the servers used for their online content. So while you absolutely should report cheaters using Xbox's in-console tools, you may also want to research how to report cheaters specifically to Activision. Other publishers, like EA, also have their own reporting systems.

Another reason why you'll want to work with the game publishers is because of cross-play. Many games allow players using Xbox, PlayStation, Switch and PC to all play at once, so the player you want to report may not be on Xbox Live. Reporting through the publisher will make sure the offending player is dealt with regardless of the platform they use.

Hi,

if you report the personthen the enforcement team will take a look and decide if the person gets a ban or not

If you have video evidence of the cheating then you should get in touch with Rockstar the games developer via their support page on their forums as you can submit video evidence directly to them for review.

click on the players name and file a report

The best thing to do is block and report the player don't engage in negative activity against them as it could inadvertently come back on you.