Sadly Plex collects some data about its users. I remember opting out of some telemetry stuff but I can't remember where that was. If you want a self-hosted streaming service like Plex that completely respects your privacy, Jellyfin is what you're looking for. I tried it and it's okay but not as good as Plex imo. But if your main focus is privacy then you should definitely check it out. It's FOSS.