AFAIK, it's closed source, released by microsoft and it clearly states they can actually collect data and send it back to microsoft when you read the TOS...
i don't know what that ToS is about*. maybe it is like bug/crash report?!
but almost all of .Net framework has been open source for a while now. (it is what you use in windows) https://referencesource.microsoft.com/
and 100% of .Net Core (which you install on linux) has been open source and available on Github https://github.com/dotnet
* edited for clarity
