Every time i use windows update Microsoft collects data from my pc and im willing to still use it. I really dont see the difference if they collect it through their antivirus as well. At least we may end up with better Operating Systems from the data they colect, unlike google who collect info from their apps and give me nothing great back in return.
One thing i did notice though is that i have my windows update set to manaul and after installing this it was set to automatic and had already downloaded a ton of stuff by the time i noticed. Its not a big deal as i just set it back to manual but its something to be aware off.
Oh and if you want to give Microsoft feedback on this app then go to:
https://connect.microsoft.com/securityessentials and sign in and then use the feedback button.