No, "they" don't, because consumer operating systems are designed to not leak identifying data back to the OS vendor, only anonymized instrumentation data. There is no (useful, de-anonymizing) data held on Apple/Microsoft/etc about these devices (except what they're given intentionally by the user, by the user explicitly enabling certain cloud features.) That's been proven by security researchers examining OS network traffic, over and over.

My point was that "security researchers examining network traffic" won't reveal de-anonymizing information leaks, if those leaks are not enabled on 99.99999% of devices, but rather only become enabled on specific devices when the OS vendor distributes those specific devices a "special" update.