Yes, every application has access to everything. The only exception are those weird apps that use the universal framework or whatever that thing is called, those need to ask for permissions. But most of the apps on your PC have full access to everything.
And Windows does collect and upload a lot of personal information and they could easily upload everything on your system. The same of course applies for the apps as well, they have access to everything except privileged folders (those usually don’t contain your personal data, but system files).
Yes, in theory any program, including Windows itself, could upload data to the Internet if not blocked.
Windows can be restricted by a network firewall. Programs can be restricted by filesystem permissions and the OS firewall, and not running them as admin.
But is this happening? Unlikely, unless you have malware. You can inspect your traffic.
As for restricting access to files you could run them under a separate user account. User A shouldn't have access to User B's home folder. Although if its something that would need granted admin access I think it would have access to other users files again.