What are the privacy implications of enabling Microsoft Security's "Network Protection" feature?

I'm sure many of you are aware that Windows has some hidden settings in the group policy editor you can tweak to harden the built in Defender/Security app that can make it an actual viable antivirus/malware defense. One of the most useful ones being the Network Protection feature that "Prevents users and apps from accessing dangerous webites".

I'm thinking of enabling this since I frequent torrent sites and the like but I'm concerned about what data will be sent to …

microsoft microsoft security network privacy protection security