Though iirc a system crash report can include a kernel dump, which can contain things like private keys.

Though realistically, Microsoft controls your OS. They could easily add code to allow them to grab whatever they want from your system without any logging (by your system anyways).

That actually makes me wonder if there are any apps that run on both a system and the router that system is connected to to determine if the internet traffic as reported by the system (to the user) is the same as what the router sees as a way to detect anything using network resources but bypassing the normal network stack.