As with the Windows 10 Technical Preview, the Microsoft’s personal virtual assistant, Cortana is a online snooping antennae for Microsoft. Which means it shares everything you do when you use it. However you have allow it to do just that because ironically it cant function in all its glory without collecting such data. Microsoft privacy statement is quite indicative of this fact :
TO ENABLE CORTANA TO PROVIDE PERSONALIZED EXPERIENCES AND RELEVANT SUGGESTIONS, MICROSOFT COLLECTS AND USES VARIOUS TYPES OF DATA, SUCH AS YOUR DEVICE LOCATION, DATA FROM YOUR CALENDAR, THE APPS YOU USE, DATA FROM YOUR EMAILS AND TEXT MESSAGES, WHO YOU CALL, YOUR CONTACTS AND HOW OFTEN YOU INTERACT WITH THEM ON YOUR DEVICE.
CORTANA ALSO LEARNS ABOUT YOU BY COLLECTING DATA ABOUT HOW YOU USE YOUR DEVICE AND OTHER MICROSOFT SERVICES, SUCH AS YOUR MUSIC, ALARM SETTINGS, WHETHER THE LOCK SCREEN IS ON, WHAT YOU VIEW AND PURCHASE, YOUR BROWSE AND BING SEARCH HISTORY, AND MORE.”