Hi Habaneroman,
Welcome to the Forum.
As you are aware Microsoft wants us making use of the Windows Settings app primarily.
While that is all fine, one issue is that there are tools within Windows which Users will use from time to time that are on a higher level of authority to the Windows settings app.
If you are on a non domain setup, then both the Registry Editor and Group Policy Editor have higher authority.than the Windows settings app.
If you are on a Domain then both the Registry Editor and Group Policy Management Editor are on a higher authority than the Windows settings app.
Effectively what this means if if you have set a Group Policy [ i.e. you use Windows 10 Professional / Enterprise ] that is to do - in your case - with Telemetry / Privacy you will need to reset that to default so you can make the changes you want to in the Windows settings app.
If you are using Windows 10 Home edition, you will not have access to the Group Policy Editor but you may have modified your Registry using tweaks to prevent Telemetry / Privacy settings, and you'll need to reset their Value data or remove them completely from the Registry before you can make changes in the Windows settings app.
If you are using Windows 10 Professional / Windows 10 Enterprise, and you cannot recall which Group Policy you changed that may have something to do with Telemetry / Privacy, then you have the option to reset all the Group Policies to their Default status. If you need help doing that let me know and I'll post a guide on what to do.
Regards,
Regedit32