if it's P2P and encrypted, seems like you'd be fine. data goes from point A to B, unless M$ engineers in a backdoor to look at your data or send a copy to point C... which would be incredibly stupid and unlikely from M$, which is, despite being a monopoly, a great company as far as attempted software integrity goes.
this is different than the google "cache your HDD on our servers" because then you're data is open to all sorts of 3rd-party implications...