“Some services log all your keystrokes, share your Wi-Fi access data with your Facebook contacts, or connect your computer to a public and potentially unsecured network without asking.”
A German company built a free tool whose whole job is turning off what Windows turns on by default. Microsoft calls the data collection convenience. Windows updates have a habit of flipping settings back, which is why the paid version watches for that. You need a third-party app to make an operating system you paid for stop reporting on you.