The only one that I would consider turning off is the Advertising ID as it is a little too much like what Google does for my liking. Any others you turn off will make some of the features not work as well.
I really don't understand the concern about the Wifi Sense feature. Some have misreported it entirely, but this article gets it somewhat right. It is only the service that is running which is turned on by default which allows you to share it if you want. Nothing will happen until you specify you want it shared. I get that its annoying you can't create a group of contacts to share your network with, but given Wifi covers such a small area, how many of your contacts are you expecting to sit out the front of your house stealing your internet? People won't even know that you are sharing it until you actually are where the Wifi network is anyway.
In other articles people are concerned about the T&Cs mentioning that Microsoft will co-operate with law enforcement if required to provide data. I'm not really sure what people expect as nothing has changed here. Any legitimate company providing services on the internet would be expected to do the same. You would need to stop using the internet entirely if that is a concern.
