I’m going to guess that the make dependencies are installed explicitly and not as a dependency. You can check the if they are explicitly installed or not with the output from pacman -Qi packagename iirc. If it doesn’t work then try pacman -Qii packagename.

So does yay and/or pacman know that the things I am installing don’t actually depend on the make dependencies?

I’m pretty sure make dependencies aren’t considered dependencies of the package you are installing.

The source code is even hosted on GitHub which is owned by Microsoft.