How private is Windows Remote Desktop Connection?

I recently upgraded to Windows 10 Pro on my personal computer, which gave me access to the native Remote Desktop app. I remote into my work computer so I don't have to share monitors or do any plugging/unplugging. It's very convenient and the app works smoothly.

But how private is it? Does anyone know what info Microsoft collects from it?

Some friends have told me I should use a third party remote connection app to maximize my privacy.

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