@elaar You know that is really strange.
"If I tell MS that I don't want it to search Bing when searching local files/folders on Windows 10 (by checking the appropriate option), and lo and behold when I type something into the search box it still starts a TLS session to bing.com, then this is something myself and others should be concerned about."
I have so far set up two Surface Pro 3s and a home office heavy lifter with this os and you know what, when I've finished with the buggers all that the "spyglass" icon on the task bar does when I use it is search the pc itself. I fear that you do not know as much about that os as you think you do. Top tip, use that search icon with "Cortana & Search", click on that and it ought to be obvious to you what to do. If it is not then there is little anyone can do to help you. You do of course turn off Cortana don't you? You don't try and keep that crap on and still not use Bing - hmm?