I also started becoming paranoid, whether someone was collecting my data and offering them to “the highest bidder”
Debrid services do collect data, the recent RealDebrid drama seems relevant since this app is basically for use with those services
https://lemmy.dbzer0.com/post/32433831
It actually seems more private to self host Jellyfin to stream/playback already downloaded media files but that's just my own interpretation.
Lots of permaseeders out there, you can be one too :)
There's no real downside as long as your ISP doesn't limit your bandwidth.