Shortly after the release of Windows 10 users voiced privacy concerns and Microsoft appeared to have removed the data collecting DiagTrack component from the OS. DiagTrack sent all kinds of data to Microsoft about Windows 10 usage. According to the company to improve user experience and to enhance security.
Later DiagTrack appeared to have been removed from the OS, but that isn't exactly true. Microsoft renamed DiagTrack to 'Connected User Experiences and Telemetry' as the developer of Tweakhound found out. Since the beginning of this month this is active in Windows 10 and sends data like your name, email address, browser usage, app usage, system configuration and search behavior. On mobile phones it also sends phone and sms data.
Last summer there was a lot of uproar about DiagTrack because users were concerned about their privacy. When Windows 10 was rolled out and several updates of the OS were released, it appeared that DiagTrack was removed from the OS. The 'Connected User Experiences and Telemetry' service appears to be its replacement and Tweakhound has an explanation how you can disable the service.
Obviously it's up to you how concerned you are about the data collection of Microsoft in Windows 10. The company promises that it uses telemetry to improve the operating system and to monitor systems for security issues.