To the best of my knowledge, Microgale is not kept in Europe, nor anywhere else outside of Madagascar. Several species of the genus have been kept in captivity by Eisenberg, Gould, Stephenson and Poduschka. Have a look at the bibliography, there are some articles by these people.
As far as I know they are rather sensitive in terms of the stress that handling, feeding or other disturbances put on them. On the other hand, some of Eisenberg's and Gould's animals have lived pretty long.
PJ Stephenson might be a good contact to tell you more about this genus.