They know _everything_ you do on your computer. It's of course for "your benefit". They know every application you lauch, how long it was running for, and if it had input parameters, they also know which files you opened.
They know what you search for (if you use IE/Edge), and lots of other "telemetry" data.
Here you go : https://account.microsoft.com/privacy/activity-history
Frequently visited locations ? Yup, on device. If you buy a new device, you restart your frequently visited locations.
Anything AI ? Yup, also on device. The only exception i can think of is photos with iCloud enabled. If you store your photos in the cloud, Apple will process them for faces/locations/whatever AI use. That's the reason you can enter "car and dog" into the search field on your iPhone and get all images containing both.
It's all here : https://www.apple.com/legal/privacy/en-ww/
I'd much prefer an "opt in" scenario where _nothing_ is reported unless i specifically allow it. I'm aware that some things go hand in hand, like "find my device" requires my device to report it's location, but i can't remember EVER opting in to sending every app i open, filename of every file i open, every link i browse, to them.