I read a lot of comments here wanting to block the connections, but wouldn’t be easier/better to switch to an OS that doesn’t spy you? The answers possibly is no, because they might use X or Y that requires them to use Windows, so a better question is, what holds you back to switch to Linux? (macOS also talks to a lot of servers and collect telemetry as Windows, maybe in a different scale, so isn’t an alternative if…
Yes but then these turn off, drop the content you were watching with little/no warning and are unreliable. Buy physical media while you can at least then you have a licence to watch it when you please until the media degrades. (Or better in the territories which allow for backing up across media formats)