Another downside -- creating a Microsoft account means agreeing to more arduous terms than you would if you only installed Windows locally. Just as one example

Another downside -- creating a Microsoft account means agreeing to more arduous terms than you would if you only installed Windows locally. Just as one example, a Windows EULA (last time I checked) does not include an arbitration agreement, and a Microsoft account does. Using an online account isn't just an inconvenience or a privacy risk for the "paranoid" -- you're just flat-out giving up your rights by signing up.