It's pretty much true that everything we do online results in a net loss of our privacy, but I'm not sure Microsoft can legitimately point any fingers about tracking. Google is the biggest advertising company on the planet, but the SECOND biggest is now Microsoft. I understand that it doesn't collect nearly as much data as the top two offenders, Facebook and Google, but that's definitely a case of pot and kettle.
Facebook is the one I'm truly paranoid about, since I know for example that it has a "shadow profile" of me since I've been tagged in photos that it now owns and therefore have exploitable social connections and there's not a damned thing I can do about that, but in general I think the fight to have any sort of online privacy has already been lost. The laws and the people who write them have never been on our side and they never will be.