I followed the video link that you provided; the narrator, was mistaken on a few points.
Second, he jumped to the conclusion that "private information" meant "information stored on your hard drive" and that MS actually has the means to control private information on your hard drive. Although MS has control over certain program and system files and drivers (through Windows Update), they do not have control over your personal files. If there is any concern over access to your files, you can modify the file permissions as you see fit.
Third, the paragraph was taken out of context; the paragraph was taken from the section entitled "Reasons we Share Personal Data", which also included information on data retention policies. This paragraph needs to be read in the context of the first section, "Personal data we collect"; any data they collect is outlined in this section, and they can only share data that they collect. Since they don't collect personal files stored on your hard drive, they can't share this information.
Information that they can share, however, includes "private files" uploaded to the cloud (OneDrive), which may include private files on your computer that you have chosen to sync with OneDrive. Likewise, email and other private communications cannot be retained if MS does not have access to them, and they will not have access to it if you don't use MS services such as Outlook.com, Skype, Cortana, or "Mail and Calendar" apps.