the point of spyware is rarely, contrary to what some naysayers would have us believe, about spying on individuals.
Mainly it is about gathering statistics and selling the resultant percentages and tables of preferences to third parties.
This means that the second party (in this case M$) gets the money, not the first party (you the user).
Not good, but even if you don't care about that (i am addressing those naysayers, you know who you are) the whole fact of any of your details being linked with any of your other details, ip address, your shopping habits, credit card number, date of birth, passport number, telephone number, postcode, whatever, will make it far easier for someone to make your life hell, morally or immorally, legally or illegally.
THAT is why i disagree so strongly with the "you must have something to hide if you want privacy" crowd.