This is like the reason I quit using Skype 10 years ago. My colleagues and I noticed the same thing: send a link in a chat, and within seconds to minutes a request (or more) for that URL from a Microsoft server would be logged. Done and bye.
I sent a link to a large file over Viber and immediately some ip connected and started downloading. Stopped at 350mb of around 3.5gb. I get that they want to show thumbnails or whatnot, but they just don't discriminate between content types.
I'd be fine if the fine print in the EULA provides a guarantee that the feature scans content solely for generating previews, and that M$ keeps no copy of it, etc....But, I'm sure I'd go blind looking for such text in the EULA.