The problem is that Web exists in a sandbox. They can collect data about my usage of their website, full stop (large sites like Facebook and Google get around this, but that's not really telemetry). With desktop there's no way of knowing what's collected with "telemetry"
Furthermore, when people choose to "go online" or "use the Internet" that's a (mostly) conscious decision --- they know, more or less, that what they're doing is actually reaching out to some other machine somewhere else, and adjust their behaviour accordingly.
The related blurring of the distinction between what's local and what's remote, also irritates me greatly. E.g. making one UI search both local file names and contents as well as the Internet.