I believe it's more about what you do to the system, than about each box you can buy.

I have not heard of any one android TV box being more privacy respecting than others. In the end they're all running Android TV. However there are a bunch of things you can do to debloat your system to minimise processes etc... Y nvidia shield at least let's me disable any system app I want. You can ofc sideloads apps, for example you can:

• Projectivy Launcher, instead of stock launcher. This launcher looks alot better and also avoids the new fullscreen ads.
• SmartTube, instead of YouTube. It's YT but without ads and has sponsor block.

If you want true privacy than you're gonna want a Linux PC of any sort connected to the TV instead.