Most of this stuff is quite benign though. Cell operators need to know how people are moving to plan their network better. Microsoft needs telemetry data to understand how their systems perform in real life. And so on.
The less benign usage is to try to sell stuff to you. To that I shrug - whatever.
The definitely bad part is when data is sold to folks with much worse intentions or to do actual surveillance. But this is going into the territory of politics. Surveillance cameras can prevent crime or to prosecute and harass innocent people (or political opponents). This is the case with any technology, but the solution isn’t in the realm of technology.
And without any of this stuff, there are a lot of intrusive practices which I’d worry about more than what windows may have. One of our clients in the US demands background checks on not just their employees but also contractors, they wanted me to sign an agreement to let them dig into my life which kind a shocked me a bit. Such intrusion would be illegal in most countries, it was also illegal in the country where I was at the time, so they got nothing. But that’s were I’d focus my concerns, not Windows.