It's not 100% true. You can keep your Windows box completely anonymous, as long as you don't enter a Microsoft account, you set a proxy to the netword card of VM BEFORE you start the installation, etc...
A common error is to set the VPN inside the box. By that time Microsoft will already have your local info in their servers. Windows obviously, like Mac OS, retrieves a ton of local info as soon as you install it, and IP address is something very natural to be retrieved.
Linux obviously is a way safer option, because is not managed by anyone in particular (except Ubuntu and RedHat, and some others). But if you go with a ultra safe MX Linux, Debian, Arch, or sometthing like that, you will be 100% sure that you could even run the system without a proxy behind and noone will collect your data.