Other researchers have similarly found that
even when you disable Windows 10 features like Cortana, it is still logging your activity and sending it to Microsoft.
Then since you have windows, you have to also install a good enough antivirus/malware protection system, which will also "call home" and also have access to everything on your computer.
Normally nothing happens. Normally all are well intended and will not try to steal. But you never know really.
That's why for big funds it's recommended to use air-gapped cold storage or at least hardware wallets.