Yes, Microsoft back's up the files in the Pictures folder, Documents, and Desktop by default without the knowledge of the user. These settings could be replicated on any system which is connected to the same Microsoft account. If you are conscious of system privacy, then please unlink the option to save these folders as a backup. Doing so is very important to maintain the privacy of your system. Otherwise, even if you reinstall your operating system, the files will show in the reinstalled version/s and also across other devices.