What if you host your code in GitHub? That concern is weird to me, because you already give Microsoft pretty much everything.

You use Windows, VSCode, etc, all of this has access to your code.

Tech is a big place and not everyone uses GitHub.com - they have an entire self-hosted version for exactly that reason, since many customers have policy or legal requirements – but also consider the distinction between something following its stated policy or doing something else. When you use Windows or VSCode the terms of service do not include sending your personal data to someone else and Microsoft would be in serious legal trouble if they changed that. In contrast, Copilot explicitly does have the right to send some of your code elsewhere so the legal question would come down to whether it reached the point that a judge would no longer consider “snippets of your code” to cover what was sent.

If you use GitHub for sensitive internal stuff you will have a contract with them. This is different from users dumping your data into a service of a vendor you have no business relationship with.

And Windows and VS Code don't upload your data to Microsoft unless you choose to do so.