Well there are lots of hidden files on your hard disk. They are normally hidden to stop people accidently deleting them as they are system files.
I am not sure about secret as they are easy to see if you change your Windows settings.
And hidden files are are not just put there by Microsoft, any program can create hidden files (you can even do it yourself if you want)
You seem to be implying that Microsoft are somehow spying on you, but I think if they were it would have come out by now.