MS actually understands its fruitless (pun intended) to keep fighting against Apple and Google's dominance in the consumer smartphone market. They are moving forward with the Surface line, etc. and blazing a trail (or at least planning to) for the future of mobile. I think this is the correct strategy and time will tell.
Well, ok. But the problem with this construct is encapsulated by that one phrase you used: "the future of mobile". While this includes technology revisions and innovations no doubt, it equally calls for a rethinking of UI/UX and more importantly of form factor. Notice that there is a very intimate relationship between the notion of mobility and form-factor.
So, you will agree, that one of the key questions regarding the future of mobile is this: What is the most likely form factor that will be at play in the short to medium term.
Will it be a device that looks like our current phones but with very different capabilities? Does the future of mobile presume ubiquitous connectivity - where Continuum-like capabilities can flourish? And, if yes, then what about those segments of the market where connectivity is not ubiquitous and more to the point expensive? Would the future of mobile be like a pot-luck of major and minor OSs? Will mobile units be considered to be constituents of what is today being called "the internet of things"?
Now lets look at what MS is at least saying and in some instances demonstrating.
First, Continuum. Existent form factor allows for the expansion of the desktop experience through dumb terminals. Working assumption: Proliferation of dumb terminals AND connectivity.
Second, Hololens: This effort to augment reality in various ways has immense potential in business and industry. Why? Because anything that aids in the visualization of a problem etc. is very helpful for problem-solving purposes. But where mobility is concerned, the units demoed thus far by MS (and its competitors current and potential) while mobile are not "easily mobile". Refinement of technolgy will no doubt happen, but its consumer-level proliferation is a bit doubtful because I am not sure humans can operate seamlessly between Reality and Reality that is augmented in some way or the other.
Third, One Core: This is an extreme and in many ways welcome rationalization of Windows. If one believes in the theory of convergence, then One Core seems to follow that operative logic. Interestingly, MS insists that this notion of convergence is not hardware-determined. Rather, it is capability-determined and in that sense has got to also be platform-agnostic. This logic also seems to underwrite their UWP/UWA strategy and of their exerting efforts to port apps across platforms.
All these will play some role in "the future of mobile". But it still leaves the key question unanswered: By means of what form factors?
To define a paradigm one requires a defining concept-technology pairing. In the case of Microsoft, the Surface represents that. And the results are there to be seen. Not saying that the Surface has completely overturned the desktop paradigm, but it has shakened it considerably and profitably.
What have we seen thus far in what MS has said or demonstrated where the question of form of the future of mobile has been either discussed or highlighted. Just to keep repeating "cloud first, mobile first" really isnt very illuminating!