[mzltest]

I am afraid it may not be a very good idea to deny Microsoft's data collection on router or DNS level.

Because it may block yourself from accessing to certain Microsoft services whenever you need to them.

Uh yes.There are utilities that stop these kinds of data collection in registry level however an update may break this and you may need to configure again.

DNS level-blocking may not interfere normal usage as they have special endpoint for data collection like browser.events.msn.com for Edge,thus you just need to block that endpoint while allowing other access(blacklisting).

Anyway all these methods can be bypassed by Microsoft and not stable,but at least better than doing nothing.