What msclkid actually is
msclkid is the Microsoft Click ID, appended automatically when auto-tagging is enabled on a Microsoft Advertising account and someone clicks an ad on Bing or across the Microsoft network. Functionally it is the same idea as Google's gclid: a per-click token that lets conversions on the destination site be joined back to the campaign that paid for the visit.
Why you see it less often
Simply because fewer clicks originate on Bing than on Google, so it turns up less in the wild. That does not make it less consequential for anyone actually running Microsoft campaigns, where it is the backbone of conversion tracking in exactly the same way.
Is it safe to remove?
For visitors, yes. For advertisers it needs to survive the entire path from ad click to conversion. It is a good habit to check your redirect chain preserves it, since the failure mode is silent: campaigns simply appear to underperform and nothing in the interface tells you a parameter was dropped along the way.