It might be stored locally, then shared with a call home through telemetry after which Microsoft then sells it as “anonymized” data, which is then again recombined with other sets by the buyer to recreate your profile.
I read that they can combine 3 anonymized datasets to fairly accurately identify a person.
I just deleted all my comments, first edited them before deletion with power delete suite. It ran for days, but eventually, as far as I can tell, all deleted.
A few of the big subs kept sending me messages, that my comment was removed because I didn’t have email verification. My account is 15 years old I think, email wasn’t a requirement then. Crazy that some subs now enforce this to post.