Semiconductor lasers are notoriously sensitive to optical feedback, and their dynamics and coherence can be significantly modified through optical reinjection. We concentrate on the dynamical properties of a very small (i.e., microscale) Vertical Cavity Surface Emitting Laser (VCSEL) operated in the low coherence region between the emission of (partially) coherent pulses and ending below the accepted macroscopic lasing threshold, with the double objective of: 1. studying the feedback influence in a regime of very low energy consumption; 2. using the micro-VCSEL as a surrogate for nanolasers, where measurements can only be based on photon statistics. The experimental investigation is based on time traces and radiofrequency spectra (common for macroscale devices) and correlation functions (required at the nanoscale). Comparison of these results confirms the ability of correlation functions to satisfactorily characterize the action of feedback on the laser dynamics. Numerical predictions obtained from a previously developed, fully stochastic modeling technique provide very close agreement with the experimental observations, thus supporting the possible extension of our observations to the nanoscale.