Windows comes with a great deal more embedded spyware and adware than macOS, and has a lot more malware targeted at it in the wild. I think the security situation is far better on macOS.
Now, MS isn't an ad company like Google, and enabling data collection by default is the wrong approach for users. It feels like it was build with features (that you probably don't care about--Hey Cortana) in mind before privacy.
https://git.eeqj.de/sneak/hacks/src/branch/master/fixcatalin...
The above script helps a little bit.