I used to do this when I had a local account in the earlier builds but I'm not sure if it still works and I wouldn't want to risk converting my local account into a ms-linked account. Can anyone test it if you have a VM or something?
Yes, it's still possible. When prompted for a Microsoft Account you put into your details and click next, after it should ask you for a Windows password and below (in blue color = link style) that it says something like "Login only to this app instead" and you're good to go, still on a local account with a MSA just in that app.
There is absolutely NO risk in converting local account to a Microsoft Account. There are only benefits.
I don't want any links, logs or relation between what I do in my computer and my e-mail address/real name
No problem. I also don't like to use a Microsoft Account for the whole system and i was confused as well because in Windows 8.1 we had the option to sign-in just to that app even before putting the details.