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They have a Global Device Identifier (GDID) Tracker that functions as a fingerprint for your PC that can surpass VPNs, proxy servers and countries. Although it can't survive a clean reinstall of Windows (it can survive updates), because Microsoft forces you to go to the internet and log in into a Microsoft account, they will be able to get to you.

Microsoft kept it secret and it was only found out when the FBI tracked a hacker thanks to the information Microsoft gave them.

You should be paying attention to this, and possibly consider moving away from Windows. If a government, especially the US government, doesn't like you for some reason, this could be seriously concerning.

This article specifically notes:

For journalism, activism, or domestic abuse situations, skip Windows and use Linux routed through Tor instead of a commercial VPN. A GDID doesn’t care which VPN you use, only that it’s still the same Windows installation.

Other important quotes:

What has researchers uneasy is everything else the case reveals. Costin Raiu, a well-known malware researcher, asked on the Three Buddy Problem podcast how much of this exists on other platforms, and whether it is linked more permanently to hardware. Matthew Hickey, another security researcher, called Windows “surveillance software”.

Two things back that up:

There’s no consent screen. A GDID gets assigned when you sign into a Microsoft Account. Apple’s advertising identifier needs an App Tracking Transparency prompt and a visible reset; Android’s works the same way. GDID has neither, and a Windows reinstall only gets you a new number Microsoft can still get back to the same account.