... "spying on the users of a program or a website and saving those data on your servers", most usually in order to monetize the data later (by offering the so called "personalized ads").If you want to read more about what is phoned home from Win 10, you can peruse the linked article (a randomly DuckDuckGo'ed* one).
* DuckDuckGo is a search engine that doesn't track you and actually seems to be really caring about your privacy (not only repeating that phrase ad nauseam while blatantly spying on you, like Google, M$, Facebook,.....). They also have a nice blog with lots of posts about retaining your privacy as much as possible.