One possible solution is to block access to Microsoft IP ranges on your firewall:

    $ whois -h whois.radb.net '!AS8075'

    $ pfctl -t drophosts -T add <results>

Or on Linux:

    $ for range in <results> ; do sudo iptables -A INPUT -s $range -j DROP ; done

Of course this will break a lot of Windows native system functionality, perhaps even Azure hosting, but this may not be an issue for someone just wishing to game in peace and privacy, unmolested by Microsoft telemetry.