of course you still face risk in the account in which you shorted the option. So, make sure you are capitalized enough in the short account, or that you can transfer funds easily and quickly between the 2 accounts, or, and thats what I suggest, you check how expensive a hedge is gonna be. Its a spot hedge, meaning you might have to re-adjust the hedge. So it all comes down to weighting cost over benefit. P.S: I totally believe you could see this in OTC space (not sure this really exists in a vanilla MSFT option as you described) but more exotic plays, otc fx options, heck, even otc traded index options can make for excellent counterparty arb.
Yes, that example is a pure arbitrage. There is no net position, you collect the .1 risk-free. And this absolutely happens in the OTC market. I have personally witnessed or been involved with this type of arb in FX Options and Rates Swaps. You need to be quick though, it's not something that crops up all the time.