From looking at conhost.exe in IDA Pro, there are some references to telemetry in a function HandleKeyEvent: https://i.imgur.com/MwaBLcW.jpg
But looking more closely it's just used to increase some counters when Ctrl+C or Ctrl+V are used: https://i.imgur.com/29e2qLD.png
There is another one for Ctrl+A elsewhere in the function as well.
Seems these are for when clipboard operations happen, there is other telemetry nearby for when key activity causes a paste: https://i.imgur.com/xONKrGJ.png
So Microsoft are indeed collecting keystroke telemetry in conhost.exe, but it's just some boring old counters to measure clipboard usage.