From reading the official criminal complaint [1] it looks like Microsoft literally logs all web requests along with the GDID and sends it over as "telemetry". It basically associates the URL, the client's IP, and the GDID together.
Or I suppose it's possible that it only sends the domain and not the full URL, but that's enough for the police to go to the hoster and demand logs containing the full URL for said IP.
Or I suppose it's possible that it only sends the domain and not the full URL, but that's enough for the police to go to the hoster and demand logs containing the full URL for said IP.
1. https://www.justice.gov/usao-ndil/media/1450651/dl?inline