Of course Windows needs your location, cookies and data, otherwise it wouldn’t be able to show you a weather widget and ‘relevant’ Bing News about the latest celebrity make-up flub.
More than that, you could compress city-resolution detailed weather data into couple dozen kilobytes. The easiest way to see it is to observe that, if your app downloads some kind of weather map image generated on the server, then that image already encodes some of this data directly, through colors of the pixels. If you ignore human readability, you can pack much more information per pixel, at the resolution of... the image. And that is not even the most efficient encoding for it.
Hell, even dumb weather APIs that respond with weather predictions could pack several times as much data in the response if they ditched the horribly space-inefficient JSON response format. There's no technical excuse at all to not ship you the whole continent's worth of weather data with each update, removing the need for the server to know your location.