Microsoft once already was under EU investigation and the whole thing was settled with minimal efforts for Microsoft (the only thing I remember was, that they had to provide a browser selection screen).
When the OS sends encrypted data to their servers, who will prove, that their is an offense made? Even when the terms are troublesome in the EU, they will just make some cosmetic changes to the terms for Europe. There are other terms, that are not valid in the EU, but Microsoft did even not change them yet (as much I know), even when it gets problems to enforce them on the courts.
Privacy might be a issue in Europe, more than in the US, but don't forget: the privacy officers in Germany have nearly no power, and are laughed at or ignored by most politicians.
Microsoft has nearly nothing to fear, IMHO from the EU, so long the US jurisdiction is also holding its peace. In Germany/the EU, nobody has the guts to fence to hard against a large US corporation -- but that is my opinion.
It would be nice, when the EU would act on it, but I don't trust it!