I'm no Windows expert, but basically yes, especially if the program has administrator access. There's no file security on Windows, and basically anything you install can grab files, unless they are in a "protected" folder like System32 or Program Files. Then the program needs to be elevated to Administrator to access those files.
My solution to this would be a program called Simplewall which blocks internet access to applications of your choosing. This isn't a comprehensive security solution, but it does protect against basic data harvesting by apps & programs.
Microsoft is a harder problem though. They are constantly bypassing measures I have tried to combat telemetry, and as the makers of the OS itself it's gonna be pretty hard to be 100% protected from them, especially seeing that Windows is proprietary. They can theoretically do whatever they want if they hide it well enough. If this is a problem might as well use Linux because Windows is only getting worse with privacy concerns every day
Yes, linux also has an administrator-like system called root, but it actually protects important system files unlike Windows administrator access which is frequrntly bypassed. Many important linux packages also respect and don't even ask for root access unless explicitly needed. This is by design. You can also use programs called flatpaks from Flathub which come sandboxed from the start, and also a program called Flatseal to fine-tune permissions from every flatpak