This is not only unsurprising, this is the entire point of the Technical Preview. The Technical Preview exists for Microsoft to study how people use the system, gather feedback, and improve the product before it releases it to consumers. And it states this on the download page.
This is not a feature of Windows 10—this exists only for the Technical Preview and will be removed from the final version of Windows 10.
As we've already said, you should not be using the Technical Preview for anything even remotely sensitive—you should only be using it to get a peek at what's coming in Windows, and give feedback to Microsoft. Not only are they collecting diagnostics, but Windows 10 can be buggy, crash-prone, and insecure.
Some of these features, like speech-to-text, will always need to send your data back to Microsoft. OS X, iOS, and Android all include this feature, for example.
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