What is the spyware process doing this?
You are not infected with spyware. The program in question is 100% legitimate.
What information is being sent to Intel?
Your device is not enrolled. So your device is sending absolutely no data to Intel currently. What information would be sent if you were enrolled would be enough information to locate the device. Apple and Android devices have similar features.
The information being sent directly to Intel, or is Microsoft collecting the information off the computer, sending it to Intel, then relaying Intel's ad to me?
If your device was enrolled, then it would be sent to Intel, Microsoft has absolutely nothing to do with this program. It sounds like you want this program not to run on your system. You should uninstall it in that case.
Intel AMT includes hardware-based remote management, security, power-management, and remote-configuration features. These features allow an IT technician to access an AMT featured PC remotely. Intel AMT relies on a hardware-based out-of-band (OOB) communication channel that operates below the OS level, the channel is independent of the state of the OS (present, missing, corrupted, down). The communication channel is also independent of the PC's power state, the presence of a management agent, and the state of many hardware components (such as hard disk drives and memory).
Your current settings allow this prompt to happen. You are not currently sending, absolutely no data to any company, that is configurable within Windows or a third-party application. In other words, Microsoft nor Intel, is currently spying on you.