I'm sure the EU is perfectly free to block use of Windows if this is a GDPR violation, given that blocking use of Windows is the only way to ensure the GDPR violations are not continuing, as this is closed-source software.
Can you imagine arguing that American law does not apply to some company operating in the US, because said company was founded in some other country?
I can imagine countries ceasing to operate in the US, yes. Can you?
[1] https://en.wikipedia.org/wiki/Volkswagen_emissions_scandal
[2] https://en.wikipedia.org/wiki/EU_illegal_State_aid_case_agai...
It probably won't, but it has that option.
So this will be a violation of the GDPR only for Windows users in the E.U.
But I'm sure all that tracking is explain in the middle of 100 pages long agreement that you have to agree to install and use Windows.
The GDPR is intentionally written so that you can't just waive your rights based on a paragraph buried in the TOS. Otherwise it would be completely meaningless.
Whether a law applies is dependent on whether the country or countries with that law can enforce it. China recently made it illegal for me to wish Hong Kong was independent. Does that mean I'm going to Chinese prison for saying I wish Hong Kong were independent?
If Microsoft were found in violation of GDPR, they already are in Europe, so there would be all kinds of ways to enforce that law.