Microsoft itself says "When you interact with your Windows device by speaking, writing (handwriting), or typing, Microsoft collects speech, inking, and typing information—including information about your Calendar and People (also known as contacts) [...] We also collect your typed and handwritten words [...] Some of this data is stored on your device and some is sent to Microsoft [...] You can turn the Send Microsoft info about how I write setting on or off in Settings.".
So that's fairly unambiguous. Microsoft does collect things including "your typed ... words" and "Some of this data ... is sent to Microsoft". But not all of it and you can opt out. I'd be uneasy, I think a lot of people wouldn't care.