Practically speaking, if you are running recent versions of Windows (I don't remember when exactly this trend started, with 2000? XP?), you have basically no control over what data you send to them and when. You can try to block traffic but it will interfere with normal Windows operations. You can try to investigate and play cat and mouse game with Microsoft, but they will always be one step ahead of you - unless you decide to turn off automatic updates and make your system less secure.
It makes little difference if it's a VM or bare metal - what matters is network connectivity. If it's on, you lose control over the data leaving your computer. In Linux, BSD and others, you can control it in a very precise way.
