This is misinformation. The setting in question is not a “privacy breach setting,” it’s to use a new API which, for sites that use it, sends advertisers anonymized data about related ad clicks instead of the much more privacy-breaching tracking data that they normally collect. This is only a good thing for users, which is why the setting is automatically checked.

It’s illegal in Europe to have an opt-out checked by default, must be an opt-in unchecked by default. This is one of the reason that Microsoft have always troubles in Europe about privacy and opt-out services.