Personalised ads are beside the point. The issue is how they are personalised, namely by building a rich profile of user behaviour based on non-consensual tracking.
It isnt even clear that there's a meaningful sense of 'consent' to what modern ad companies (ie., google, facebook, amazon, increasingly microsoft, etc.) do. There is both an individual harm, but a massive collective arm, to the infrastructure of behavioural tracking that has been built by these companies.
This infrastructure should be, largely, illegal. The technology to end any form of privacy is presently deployed only for ads, but should not be deployed anywhere at all.
Will the EU fix Windows by banning the insane amount of tracking they do? Would be nice. The OS is literally at its peak in terms of being great, but all the telemetry, forced accounts and Microsoft ads keep the meme alive that Windows is awful, when in fact, if you remove those three things I mentioned, you have an insanely reliable and polished OS, all my issues with Windows have always come from customizing the core OS, it just doesn't quite behave the same, I would eventually format due to issues, the moment I stopped tampering and tinkering, I've stopped reformatting Windows.
Dark theme
HDR support
Auto HDR for many older games
Native system wide support for surround sound in headphones with hrtf
Win+Shift+S screenshot tool
It took a long time to get here, but the settings app is now better than the old Control Panel imo
If you're a gamer then HDR/surround/raytracing can potentially be huge upgrades if your hardware supports it.
Nowadays it's impossible to know exactly where some specific setting is anymore, and the settings app has been so dumbed down that most settings don't even exist anymore. Just the other day i tried to fix my dads touchpad and went on a wild goose chase through every possible setting location, of which there were too many, and kept coming back to the "settings app" in which the touchpad "settings" had only a single checkbox, fully unrelated to anything actually useful at all. The tab was there but there was no fucking settings in it. Nothing useful at all. In the end i tried driver updates, i tried rollbacks, i tried every setting app, i tried everything and the touchpad still doesnt work. You can click, you can't move, you can't scroll. The man didn't install anything, windows released an update and the single most important tool for interacting with the computer, one that is built into the hardware, was broken with no recourse to fix it, I'm simply not allowed access to the settings i require to maintain my own control over a functioning device.
That is the new settings app to me. Maybe if you stay within the ever shrinking bounds of control that Microsoft so graciously barely allows us to utilize, maybe then the buttons are rounder and the categories are better laid out. But if you need to fix anything that exists even slightly outside that toddler playground Microsoft is only ever making that more and more difficult under the guise of UI "improvements".