I've had ads on Windows lock screen ("Get fun facts, tips, tricks and more on your lock screen"). I was fairly sure I had turned this off, and it was weeks before I saw an ad (replacing Spotlight background), but once I did see an ad, I wrote my own program to set the lock screen background and stayed well away from the MS Spotlight.

Spotlight itself is an ad for Edge; if you want more information on the photo, it'll pop up in Edge, not in your default browser.

Windows installed a bunch of sponsored apps / icons when I first installed it. Xbox, Skype, Groove, Money - they may all be owned by MS, but they're still crapware as far as I'm concerned.