MS has finally revealed what data it collects from you (if you're using W10). I'm sure they collected data from earlier OSs, but they haven't revealed just what in which OS.
There's a good general picture in the linked article, but if you want the nitty gritty, go here: https://technet.microsoft.com/itpro/windows/configure/basic-level-windows-diagnostic-events-and-fields
and here: https://technet.microsoft.com/itpro/windows/configure/windows-diagnostic-data
These apply to version 1703.
If you want good screenshots to refer to, go here: https://www.neowin.net/news/microsoft-reveals-details-of-the-data-that-its-collecting-from-windows-10-devices
See ext. link and links in the text above.