Security researcher Matt Weeks spotted Microsoft Edge sending the URL of a site being visited to SmartScreen without hashed in any way. Microsoft Edge also sent the logged in user’s SID, or Security Identifier, to Microsoft. Windows 10 also transmits a great deal of potentially sensitive information about your applications when you attempt to run them. This includes private download URLs for sensitive files and the folder structure of internal Windows systems and networks. The only way to prevent this information from being shared is to disable this feature.
Source: https://www.bleepingcomputer.com/news/microsoft/windows-10-smartscreen-sends-urls-and-app-names-to-microsoft/