No, information about investors is not transferred anywhere and the government will never know that you have invested your money in ICO.
There are lot of rumors around the world regarding the leakage of the data and the personal credentials of the ones who have invested their money into different crypto currencies but the fact is there is nothing like that and that there is no such thing which can make you feel afraid of anything like that. You just need to concentrate on your investment and that you need to deal the things in a proper way.