Microsoft will track where you are, who you are talking to, where you've been, any of your incoming and outgoing messages, your children's data, your friend's data, that cousin you never knew you had's data, and store it in a vault. This vault may or may not be safe and secure, and for all you know, it could be a zipped file on a usb with everything in plain text. It's not what Microsoft will do to you, but what everyone else can do to you. Anyone who gets the information from Microsoft, legally or illegally, will literally have almost every bit of information they could possibly want to take out people. Your schedule, your plans, your current location, your supposed destination. Maybe that creepy yandere girl you never knew existed could obtain this data dubbed "useless", kill all of your friends, your parents, and then lock you in their basement so you can live off a diet of her bodily fluids and food mixed with...NOPE. Ending that thought.
Point is, you already know at least 70% the world is fucking crazy and stupid. Even if you aren't going to do something nuts, all it takes is one guy with an issue and access to the wrong places having a really bad day to send every porn site you have ever visited and your naked butt pictures for the world to see. It's fucking stupid to think "oh it's ok, I've got nothing that I need to hide...I think". It's not about shutting out the internet, going into the bomb shelter. It's about giving your clothes that you wear every day to a fucking stranger and saying "Here guy, I trust you will put these clothes on me every day, and keep my life away from prying eyes" when you know the guy will straight up hand you to the authorities if asked and take pictures of you every waking moment they can.
Btw they also send a weekly email of what sites your child is visiting and how long they are visiting that site for.