I know it's unlikely, but servers get our real IP (if we don't hide it), and the person who owns the server can determine our location (country) by IP address. Although small, there is a possibility that someone could reach the real owner through an IP address, by hacking ISP or with inside job (a corrupt employee inside ISP). Of course, this would only make sense if some Electrum wallet user has a large amount of BTC, and in this way could become a victim of robbery or attempts of social engineering.