The real issue is that you can't be sure that the keys aren't uploaded even if you opt out.
At this point, the only thing that can restore trust in Microsoft is open sourcing Windows.
The fully security conscious option is to not link a Microsoft account at all.
I just did a Windows 11 install on a workstation (Windows mandatory for some software) and it was really easy to set up without a Microsoft account.
And newer builds of Windows 11 are removing these methods, to force use of a Microsoft account. [0]
[0] https://www.windowslatest.com/2025/10/07/microsoft-confirms-...
By "really easy" do you mean you had a checkbox? Or "really easy" in that there's a secret sequence of key presses at one point during setup? Or was it the domain join method?
Googling around, I'm not sure any of the methods could be described as "really easy" since it takes a lot of knowledge to do it.
Edit: ofc we all agree local accounts needs to be a supported option, but perhaps we should be more careful about yelling from the rooftops that it’s practically impossible. I’ve been told for years now that it’s really hard or impossible, and it really was not that hard (yet…)
Chastising people about "yelling" is not really an appropriate thing to say here.