(I worked at Bing when this all went down.)
It was a strange departure. He apparently got in some kind of cycling accident and took medical leave from Microsoft for recovery, but then just a few months later he was a senior executive at Baidu. Not sure what was up with that.
But contra the GP, the general opinion both during and after Lu's tenure was that he did a good job. It took a while, but Bing is profitable now, and he did a lot to get that in motion. I imagine it can't be psychologically easy to run an unprofitable department for years with the eye on long-term strategy, especially in the Ballmer era, but he pulled it off. Bing is not the disaster money pit that a lot of HN assumes it to be.