On the one hand, I think that GENERALLY privacy is a good thing, as a matter of principle.
On the other hand, it's a universal reality that it's not absolute, it's not always the case. For decades, law enforcement has been able to search your home, intercept your mail, tap your phone, all legal under certain conditions. Law enforcement can take your home or work computer and find out what you've been up to, all legal under certain conditions. When you are in the military, your mail can be searched and phone call tapped to be sure you are not disclosing secure information. When I'm at work (which I often am when here at CH), the security knows exactly what I'm doing (good reason to not go to THOSE sites, lol) because I can't disclose work information: I'm welcome to send email, post, etc.... just not disclose work information, and all KNOW that we are being watched. An invision of privacy? Sure. But it's legal and permitted and many feel it's both necessary and good. Can a teen boy harass and threaten to kill my daughter via email and he can do so because email is "private?" Hum. So it's not an absolute "yes" or "no" issue, it's more complex than that.
Microsoft is ALREADY gathering the information.... if it's gathering the information that's objectionable, then take that up with Microsoft (I'm sure they have legions of attorneys you can talk to). Whether some should have access to that and for what reasons.... that's complex.