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Technology
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Yes, but you can also proof it, checking and even blocking the traffic in the OS, eg. with Portmaster. Not a big Problem. Different to MacOS, Windows permits to make it reasinable private in the settings, the only problem is that a lot of settings (in total over 200 setting points and registry entries) are indocumented and hidden. The OS as such is only another modified UNIX fork, the worse part are the apps. telemetries and services added by M$. The gutted, mencioned WindowsX, shows it, also mine DIY version of Windows11 24H2 which I use, with only <700 MB in RAM, after eliminating all this MS crap.
Again, nothing to do with Microsoft's cloud platform.
But a lot with it's TOS and PP in any MS products and services in the EU. MS can't act in the EU the same way as in the US.