According to the Inquirer.net, the Technical Preview of next official release of Windows, which will be Windows 10, watches what users type. It is unclean what other data Microsoft is collecting with Windows 10 TP.
It should be noted this kind of data collection may only be done for the TP version of Windows 10, and could be changed in the final version.
With this being said, keylogging is a tiny example of what closed source software companies are capable of – even if the user is not primarily connected to the web in order to use the software. Other “free” web services are entirely built upon the principal of watching what you type and noting when you’re online/offline (think Google and Facebook).
For more information read the Inquirer’s article.