The privacy concern with data like this is largely similar to macOS out of the box, however, Windows does include many built-in, optional features which could jeopardize your privacy significantly further than normal.
The aforementioned Windows Recall, for example, presents a substantial security risk when it comes to data leakage, because all of your personal information becomes consolidated in a single locally-accessible database. Similar concerns could be had with deep OneDrive integration in modern versions of Windows.
These features are ostensibly opt-in, but there are many stories of OneDrive being unintentionally/unknowingly enabled by users, and I suspect we will see more of that with Recall over the next few months as well.
Some of these features can be further prevented from accidental use by following these configuration instructions:
(Note this guide does not yet address Windows Recall, but there are draft instructions on that as well if it is very concerning: update: Disable Windows Recall in gpedit guide by jonaharagon · Pull Request #2932 · privacyguides/privacyguides.org · GitHub)
If you follow these instructions (ideally on Windows Enterprise Edition) then the system should be workable for basic tasks like what you are talking about. You are still likely at a heightened risk of data exposure, but this is mainly due to the higher prevalence of Windows-based data stealing malware, not necessarily Windows being lower in security.
That being said, it is perfectly valid to consider the much larger threat landscape of Windows compared to Linux when you are assessing the security of your operating system. Security does not exist in an isolated bubble 