just look at this ugly site and program. i wonder will it have spyware or malware in it like most other tools? there are other ways. either get a tool like OO ShutUp which does not have a installer, or do it on your own with registry/cmd/gpedit (which isn't enough) or use some finished scripts from this board which do the same. why install some program no one knows where it comes from and what it does to your system. maybe it's disabling telemetry and put it's own service in it. so instead of ms they will get all the data. you never know
if you are that pessimistic, you can run a viruscheck on www-virustotal.com with 57 virus scanners and check validity of the statements yourself that all connections are blocked from MS. If you still dont believe by then, you may check network connections for example with wireshark and see that there are no hidden connections that gather data.
Its pathetic this is how low windows has reached. Maybe use group policy, ive found options to disable most data collection. Is that data collection really that bad? did anyone intercept all the collections they do in any way so far and analyse the data?