Because the desktop software is executed on my desktop - and since I'm the owner I'd like to have full control over what is happening on it instead of giving up that power for the benefit of a faceless entity and a foggy promise of "better user experience".

Real desktop software has access to a lot of private and often sensitive information, my browser doesn't share that with any website.

That's also bad, but at least it is reasonably well documented, and there are a variety of tools (Ghostery, uBlock Origin, uMatrix, Disconnect, Privacy Badger, AdBlockPlus, ....) that can all help you with controlling it.

Unlike files, your OS has access to every file, every key press, etc; some of these get sent in the telemetry. Also, Win10 is mostly a black box in these respects, you don't know what gets sent and there is hardly any documentation either.