Very surprisingly, Windows 10 collects a ton of information and stores it in the cloud (as well as the desktop). This is to help you and the developer (Microsoft) to provide more useful information and user experience.
Check out this article:
https://www.yahoo.com/tech/how-to-keep-windows-10-from-spying-on-you-125730399429.html
If you care about privacy, it is highly recommended to turn-off several of the features in Windows 10!
Go to Settings and then to Privacy tab. They use a technology known as Cortana as personal assistant, gathering all the information about the user. You may need to disable Cortana for this purpose.