The OSS Gadget software itself does not collect information about your use of the software, and therefore does not send such information to any source, including to Microsoft. Nevertheless, our privacy statement is located at https://go.microsoft.com/fwlink/?LinkID=824704.
However, OSS Gadget does make outbound network connections to various locations, including NPM (registry.npmjs.org), NuGet (api.nuget.org), and RubyGems (rubygems.org). These connections are unauthenticated and made directly to that service. As such, their privacy policy would apply.
In addition, the health calculator (oss-health.exe) tool queries GitHub using the public API. In order to do so, it needs an API key, which you would need to include. This connection is therefore authenticated, between the tool and GitHub, and as such, the GitHub privacy policy would apply.