Just how good is a VPN at hiding your identity?

[RodneyYouPlonker]

Will Windows Privacy Dashboard (WPD) block the telemetry ?

No it won't. The only real way to block it is to block all the servers that companies like Apple and Microsoft put so they can gather intelligence about what you're getting up to. You just do this through the hosts file. There are different ways of doing this and you can get software that will do it for you (sorry I can't advertise this information) but you can have the servers blocked and just install a list into hosts to make sure that non of these can monitor your activity. It's a bit of a delicate subject really so I can't say too much about it. If you block your Windows OS (which even includes Win7) then you can prevent them from gaining outgoing data from your PC and then they have no way to monitoring what kind of software you have installed and what sites you visit. Finally you really need to make sure you never use a Microsoft account it's a big no no. You should always set it up with an offline account and never get one of their accounts and it's very bad and gives away your ID.

[Slow Mo]

Whack-A-Mole! Who knows how many Microsoft really has, can we catch 'em all, including new from all-upcoming updates?

"Allow some" & "deny all" sounds safer: Allow Steam, etc on the router or other web tech, access to the wider Internet in a VM by a specific MAC with a custom OpenVPN server, denying Windows the ability to send any telemetry entirely or use a separate machine.