In Win11 Pro/Enterprise, this can be disabled via Group Policy alongside most other tracking and logging "features". In corporate environments, it often is. Their primary target here is individual consumers.
On the other hand, even on Home edition you can at least disable this yourself with a few registry tweaks or by using a tool like DoNotSpy11. I highly recommend checking it out if you're forced to use Windows but want some semblance of privacy.
I mean from my tests it does seem to work, tho I also just straight-up nuke Copilot in its entirety when setting Win11 up