Yep, when you set up your phone you get a notification to enable it, as well as it's features. It's pretty upfront about what it does and what it collects too.

Hey Cortana (and microphone access) is still opt-in, along with features that require data collection. The article is somewhat unclear/misleading on this point.

What's not opt-in, or even able to be disabled through any supported method, is web search through the taskbar/start menu search box. This means that search box keystrokes will be sent to Microsoft servers, though there are (opt-out) options for disabling or clearing storage of search history.