I am not sure, if a few billions URL's plus ID's plus metadata per day will inherently be a protection to your data, just because of the size. Doesn't seem too much for modern data science in my limited experience. (I am into data science, but not big data, so take this with a grain of salt.)Edge sends billions of signals every day to Microsoft. This Big data can be hardly usable for spying on consumers. It is used to enhance the customers' security and personalize the browsing. It could be used for spying if Microsoft had external information that someone is dangerous or very interesting for some particular reason. So, if the FBI or CIA could force Microsoft to filter the Big data for specific criminal activity, then your privacy could be exposed. So the terrorists, American dissidents, etc. would like to avoid Edge + SmartScreen.
Anyway, much more dangerous for consumers can be DNS providers, Google search, social media, etc.
How does this compare to the security of popular Linux distros, let's say Ubuntu or Fedora?This is a very strong setup.