How much do you like the idea of Microsoft having a copy of everything you ever display on your screen, in perpetuity, for their gain as they see fit? Does your stance change if you consider the probability of that data remaining secure on their cloud approaching zero over time?
The main issue is not that "Microsoft having a copy of everything you ever display on your screen", the main issue is that they will sell it to other companies and government agencies.
Do you have any evidence of Microsoft doing similar spying tactics?
If you don't trust your computer's supply chain, (hardware, software, internet, services,) you shouldn't use it. I don't trust Microsoft any more or less than any other vendor, and that includes open-source.
With automatic updates, anyone (hardware vendor through drivers, software vendor) can backdoor you and grab all that information. We're even finding backdoors in (gasp) open-source software now.
I don't trust Microsoft and I don't use their software. When they say this data will be secure, they mean they're going to stream it to their servers and look after it with the industry standard security of "whoops, we left the door unlocked again".
