This is clickbait bullshit. I've seen this stupid fucking article posted on Reddit like 9 million times. I thought Lemmy would be better :-/.
While Windows does collect a ton of telemetry (out of the box), this specific article gives like zero useful information. The fact that Windows queries msn.com means literally fucking nothing without picking apart the traffic to see what is actually being sent. It probably pings that domain for the weather widget or something.