To be fair, this is present on any Apple device as well. If you use Siri, you’re consenting to the same data sharing as with Microsoft here.
I turned off Siri, and I’ll turn off Cortana when I go to W10. While I very much like text-to-speech for text messaging, the “inconvenience” of typing out my messages outweighs the hit to my privacy. For the same reason, I have no webcams or microphones connected to any of my home platforms.
Yeah, that’s why I said “on any OS”.