I think it's a combination of the security risk and a slippery-slope argument. The security risk is that, at the very least, it opens up an avenue for hackers to more easily extract personal information from your PC. The slippery-slope argument is that Microsoft can just choose to enable this feature, or parts of it, without your consent. It used to be that you could turn of all telemetry in Windows (XP/Vista I believe), but now you can't do that for 10.
I think it's a combination of the security risk and a slippery-slope argument. The security risk is that, at the very least, it opens up an avenue for hackers to more easily extract personal information from your PC. The slippery-slope argument is that Microsoft can just choose to enable this feature, or parts of it, without your consent. It used to be that you could turn of all telemetry in Windows (XP/Vista I believe), but now you can't do that for 10.