I've been on the preview since the beginning, when I installed the supposedly "final" build (10240?) about a week ago it ran through a wizard that allowed me to disable this functionality.

Including the per-device unique id for advertisers?

Yes, although by default this is on (Express Setup). Customising the setup allows you to disable it.

This is just for Microsoft Account-enabled installations isn't it?

I kind of expected that.

I hope this kind of shit is not happening with the regular Local Account, or I'll be rolling back to Windows 7 swiftly.

Not creating and using a Microsoft Account would eliminate some of the privacy concerns, but not all of them. If you think it important to protect information, in general or about yourself, then you need to carefully study the privacy statement, services agreement, and associated materials. Plus the various settings that can be used to control the features that phone home. Then, if you do decide that the OS can be configured and used in a way that you are comfortable with, you proceed. Don't install the OS until you determine that and know how to make the configuration changes. Take your time, maybe read http://www.tenforums.com/ for awhile.