Taking a look at the privacy whitepaper [0], there's a long list of data gathering initiatives that seemingly need to be turned off manually (a number of sections explicitly mention opt-out rather than opt-in). I can't check the defaults though, since it doesn't run on Linux. The main problem with opt-out is Microsoft's track record of re-enabling telemetry after it has been turned off by the user, and that's not something you'd want in a web browser.

[0] https://docs.microsoft.com/en-gb/microsoft-edge/privacy-whit...