After lab analysis for a few days, I believe I have a definitive list of what to block in Web Filter relating to the ridiculous amount of telemetry MS is gathering with Windows 10. We've found that basically Windows 10 is a keylogger in some cases, and even sends camera/microphone data in 40Mb bundles!
Anyway, enter this into your customer block list, and you are good to go.
choice.microsoft.com
choice.microsoft.com.nstac.net
cs1.wpc.v0cdn.net
df.telemetry.microsoft.com
i1.services.social.microsoft.com
i1.services.social.microsoft.com.nsatc.net
oca.telemetry.microsoft.com
oca.telemetry.microsoft.com.nsatc.net
pre.footprintpredict.com
redir.metaservices.microsoft.com
reports.wes.df.telemetry.microsoft.com
services.wes.df.telemetry.microsoft.com
settings-sandbox.data.microsoft.com
sqm.df.telemetry.microsoft.com
sqm.telemetry.microsoft.com
sqm.telemetry.microsoft.com.nsatc.net
ssw.live.com
statsfe1.ws.microsoft.com
telecommand.telemetry.microsoft.com
telecommand.telemetry.microsoft.com.nsatc.net
telemetry.appex.bing.net
telemetry.microsoft.com
telemetry.urs.microsoft.com
vortex-sandbox.data.microsoft.com
vortex-win.data.microsoft.com
vortex-sandbox.data.microsoft.com
vortex.data.microsoft.com
watson.telemetry.microsoft.com
watson.telemetry.microsoft.com.nsatc.net