Not the most of informative of articles - 'Windows 11 tries to look up some URLs when you first install it'. Probably all that shit that they've added to the Start menu, by the looks of it.
MS have an article about the 'diagnostic' data that they send - that's far from all that they collect, they count 'telemetry' separately. Some things, like recording your CPU model number to see if it's particularly associated with specific driver crashes? Fine. Collecting specific URLs that you've connected to in your browser? I'd be much less happy about that. And the article implies they're collecting about a gigabyte per month of just 'diagnostic' data - one, that seems a lot, and two, you're paying to store and upload it.
https://learn.microsoft.com/en-us/windows/privacy/diagnostic-data-viewer-overview
Happy to stay on Linux - I might not have anything to hide, but that doesn't mean that I've got anything to share.