You’ll only get these prompts for apps installed after you move to the Fall Creators Update; you’ll have to dive into your privacy settings to review permissions for apps you already have. Even so, it’s an important boost to Windows’ privacy security levels. Much as on phones, where fine-grained permissions are already fairly commonplace, you might not have to worry as much about malicious apps spamming your contacts or hijacking the camera.
Not that Microsoft is counting solely on this to improve privacy and overall security. You now have easier access to privacy info during the initial setup process, and Windows 10 Mobile users are getting two-factor authentication that can require more than just a PIN code to unlock a phone, such as an NFC tag. None of these updates will reassure you if you’re concerned that Microsoft itself is grabbing too much info (even if it’s mainly being used for diagnostics), but they will at least deter common privacy breaches.