The protection scan checks your system for virus or other potentially unwanted programs. Note the “Share informatio with Microsoft” check box. Unless you uncheck this your scan results will be uploaded to Microsoft. For what purposes? Your guess is as good as mine.
Clean Up works similarly to the Windows XP clean up system tool removing unnecessary files. All these tools require the user to download an Active X control and report information back to Microsoft.
Each scan type presents the user with results of the scan and a recommended course of action, if any.
When the scan and changes have been made the user can exit the app. There is a disclaimer on this page.
Windows Live Safety Center: Free online scanner for PC health and safety: “Windows Live Safety Center is a new, free service designed to help ensure the health of your PC. * Check for and remove viruses * Learn about threats * Improve your PC’s performance * Get rid of junk on your hard disk Use the full service scan to check everything, or turn to the scanners and information in the service centers to meet your specific needs. “