And how do you know the keys are never uploaded if you don't have an account?

The same way you know that your browser session secrets, bank account information, crypto private keys, and other sensitive information is never uploaded. That is to say, you don't, really - you have to partially trust Microsoft and partially rely on folks that do black-box testing, network analysis, decompilation, and other investigative techniques on closed-source software.

Air gap the machine.