My personal assumption is that Microsoft isn't a malicious actor, so yes I don't expect them to try to dodge domain blocking. I also don't see their telemetry as spying, everything I've seen so far tells me that they only use gathered data in aggregate as a replacement for QA, and without PII (unless you decide to report crashes, send feedbacks, or take part in their insider program) and they seem to respect user settings regarding personalized ads.

But I don't like that you have so much advertising in the default Windows and Edge experience and understand the general frustration regarding telemetry, not everybody can control their network the way I do just to have a reasonable experience...