From what I have gathered online, it seems like most people believe that macOS is (slightly) more private than Windows. macOSshow you detailed characterization of the telemetry, and you can turn most of it it off; whereas you cannot turn off basic telemetry in Windows.
I cannot verify this claim, since I never owned an apple product.
That being said, if I have to use a closed-source OS, I would probably choice window, since I am more familiar with it and it is (slightly) more open than macOS.