Windows 10 privacy is a contentious issue. This is in part because Windows 10 is integrated with cloud-based features like Cortana, and it has features influenced by mobile such as determining your location. Then there's Microsoft's more questionable goals, like scooping up diagnostic data and gathering information for better ad-targeting.
In previous versions of Windows 10, managing privacy was, to put it mildly, an insane process. Settings were strewn all over the operating system and the web.
Privacy isn't much better in the recently released Creators Update, but Microsoft has consolidated its web-based privacy information related to a user's Microsoft Account. In addition, privacy settings on the PC are a little more helpful.