On top of all that, communications can be encrypted with ssl so I'm not sure how router packet sniffing would be totally effective. They could easily use peer to peer technology to defeat any possible IP filtering strategy. Seriously, Microsoft could have the ultimate botnet tomorrow, but why would they do that?
Ignorance may be bliss, but from a information security standpoint, most of us place implicit trust in bios vendors, circuit board vendors and their firmware, Intel, AMD, Microsoft, Google, Amazon, Apple and the list goes on. If any of these people really want your data they have the means to get it. If you think they aren't smart enough to hide their activity you're delusional. The fact is, our activity isn't really that interesting and these people aren't crooks so it's an acceptable risk.
If you run Windows you implicitly trust Microsoft. If you run Linux, you implicitly trust the open source movement. If Microsoft wants your data they have the means to get it. If for some reason they needed to hide that fact, nobody would likely know.