I also appreciate privacy even though I "have nothing to hide" - just because I "have nothing to hide" it doesn't mean I want companies scanning my camera roll.
Paraphrasing Bruce Schneier [0] for another example even “non-technical” people should understand (I have heard people essentially agreeing to the hypothetical keylogger because of “nothing to hide”, after all…):
I have nothing to hide, and yet I’d still prefer to go to the bathroom with the door closed.
Private companies do not surveil you with the intention of blackmailing or policing you (i.e., "you have something to hide!"), so it doesn't really apply here. By default, every user on a platform has something to hide, i.e. their data and usage and must be given the option to hide that or keep it anon.
If you do have something to hide, Microsoft's Windows telemetry features aren't even your top security concern if you're smart.