The most underrated thing on here is probably Visual Studio Code. It's a really great piece of software and has a bunch of really neat features when editing on a remote machine.
The source files are in a shared network directory, but VS code (the editor) is on my machine? Or is it something different?
Where would the compiler reside? Will the Compile/Build be executed on my machine?
Edit: found some answers: https://code.visualstudio.com/docs/remote/remote-overview
I agree the current situation is ridiculous. Technical users use all kinds of WIndows detelemtrizers that sometimes do more damage than benefit. Moreover, MS is deepening the integration with their online services so at some point just using it without them tracking you won't be possible.
Windows de-telemetrization is ridiculous indeed. Scripts turn setting willy-nilly, then Windows updates does it again, it's like living in an abusive household. In regards of privacy, it's very clear that the priorities of the system is vastly different from the users', to the point where fighting it is completely moot. And this brings us to your last point, where I agree again, the turning of desktop software to online services, and websites into phone apps make any effort to take back privacy absolutely futile. While maybe not the number one priority, but a very convenient side effect that this is practically unachievable with this kind of architecture.