If the audio was actually sent to MS, I'd feel no worse than I would about Google getting it for live transcribe; the privacy implications annoy me but I'd rather have the captions.

That said, Win11 live captions work on-device and are not server-bound, and I've confirmed this by playing audio files and having captions still work while entirely off the internet.

For that matter, while I'm not an Android user - Google has moved most of their captions processing on-device and that is the same approach Apple is taking with theirs.