You may think that your emails contain nothing of interest, but your government disagrees. Otherwise it would not be saving all of them.
"My" government (and I didn't vote for them) can't even manage to pay those who work for them. If they really are saving all of my e-mails (doubtful), they would never be able to find anything in them, if there was something of interest. ELECTED governments, generally, are so incompetent, that they are pretty well harmless. Those who think they can control the population can be dangerous. The hackers are of more concern, and governments don't seem to think that they are a problem, or they would do something about them.
As for advertising on desktops. The problem with ads appearing in a desktop operating system is, in my opinion, this: Once ads start appearing soon there will be an effort to better target the ads to the appropriate viewers. In order to do that information will have to be gleaned about the user. We all know how that has progressed in the smart phone world.
Microsoft, Google, Apple, and others, have been collecting data, for years. They do have opt out options, but anybody who believes that is naive, at best. About the only "target" is language customization, or, if they detect that you are in a certain store, and that store is one of the ones who pay them, you will get store ads. They have been doing that for years too. What is "new" here, is an admission that they are planning to "force" the user to see the ads. Whether they will succeed, or not, remains to be seen. If they become annoying, people will find a way to stop it. Loss of business (either the provider, or the advertiser) can be a powerful motivator.
Keep WiFi, and data, turned off, set every WiFi as a Metered network, turn off location sensing, don't use dictation, or search engines, and you will get rid of a lot of it. If you do need one of those services, turn it on, use it, then turn it off again. In windows, I never connect to the cloud, or any other service that requires a password, unless there is a legitimate need for it (banks). I don't know if it is actually true, but Duck Duck Go (search engine) says they don't collect information. I do know that Google, Yahoo, and others, do collect information.
My opinion is concern about advertising showing up in Windows is, and should be, concern about privacy and civil liberty. They are very much related.
Privacy, and civil liberty, went out the window, years ago. It was necessary to prevent the "bad" people from exploiting the "good" people (of course, "good", and "bad" can have different meanings, for different people). Forced advertising is simply one of the results. Most people couldn't care less if somebody watches what they are doing, when they are out in public (and even in their own homes). If they did, smart phones, Google, Security cameras, etc. would not exist, because nobody would use them.
Advertising is a tool to get funding. If you wanted to pay for each service that you use, you could get rid of it, but that would end up costing more than you would think (and, it would be an administrative nightmare). It is the same as ads on radio, and TV. Without them, the service wouldn't exist, or you would need to pay for it. I don't know about most people, but I can watch, or listen to, ads, and they don't even register. Sometimes, I will remember an especially clever ad, but most of the time, I can't tell you what they are advertising. What is annoying, is having to wade through a bunch of them, to find what I am looking for. Blocking ads makes the internet much easier to use. The HOSTS file makes that much easier to do, and it blocks a lot of the data collection too, but the main advantage is that it cuts down on the garbage that you need to wade through.
If you are concerned about what governments find out about you, you need to change the government, or your life style (depending on which is easier).