This is just a fucking privacy nightmare. We like to laugh and play here about Linux quite a bit, but holy shit this is the actual "If you're using Windows and expect privacy at all, this is it, you should throw that notion out the window."
I don't care how much encryption there is, or the assurance that it's only on your hard drive, I've sat in too many corporate meetings in my career to trust that. There is no way Microsoft is just letting you have that data and they're not reporting it out. Very least? They're using ML on it to aggregate what it sees in the screenshot, and then saving that. Worst case, they're saving it to an encrypted blob storage, calling that encrypted, and hiding deep in the ToS that you actually agreed to that (even though it said in the big letters it was local only, sorry woopsie in the small letters it said it's also stored there.)
Fuck, ignoring the obvious pron implications that I assume everyone here is immediately thinking of, think of HIPAA, think of the private communications with therapists that people have, think of all of the financial documents you've opened, think about bank accounts, chats, fucking everything.