Most of the privacy settings that people are most worried about is tied into Cortana or more specifically what you allow Cortana to do on your behalf. You can simply choose not to use Cortana or to disable it entirely. Google Now & Siri support the same functionality but ironically don't give you the settings to disable it, so nobody bats an eyelid.
Beyond that you only really have so called "basic telemetry." Which tells them when you launch a Windows 10 "app" and some basic computer information. But even without that setting/ability the apps themselves could conduct the same reporting (via direct HTTP requests), the only reason it is even a setting is because Microsoft unified it to make developers lives easier and to better aggregate the information their side.
Are people legitimately concerned that when they launch the XBox music app that Microsoft knows you did? Even without the Windows telemetry they could just look at their own server logs since the XBox Music app utilises so many web resources (e.g. images). The same is true with any developer, any app, on any platform.
Ultimately the whole thing is a bunch of noise and no substance. Nobody can actually point to exactly what specific information Microsoft is even taking, and have even less data yet still to back up any claims.