Looking at the list of domains, they appear to be almost entirely unrelated to telemetry.

Most likely this feature is a response to incidents such as this: https://www.wired.com/2011/03/comodo-compromise/ (in which certs for login.skype.com and login.live.com were misissued by Comodo).

Blocking the domains in this list to prevent telemetry, as suggested in other comments, would prevent access to most of Microsoft's online services. This includes third-party websites hosted on Azure that aren't using their own custom domain (.azurewebsites.net), and all software updates, including critical security patches.