The source is one single user on ResetEra, that doesn't post any proof.
Another user refuted the claims and posted logs, that show what gets sent, which seemingly doesn't include any Copilot data. The AI part only happens, when you actually ask a question to Copilot (duh). So the thread gets closed.
The article omits the second part of course, and everybody in this thread is just foaming at the mouth, because it's Microsoft, so it has to be true.