Lets look at that again
''Microsoft uses the data we collect to provide you the services we offer, which includes using data to improve and personalize your experiences. We also may use the data to communicate with you, for example, informing you about your account, security updates and product information. And we use data to help make the ads we show you more relevant to you. However, we do not use what you say in email, chat, video calls or voice mail, or your documents, photos or other personal files to target ads to you.''
They are not saying they do not collect and store (and maybe share) the data they are simply saying they wont use that particular data to target you with Ads, there is nothing to stop them passing on that information or using it in any other way.
It is however an admission that they do collect Data from
other PERSONAL files