How can they monitor the data? I mean how this works exactly?
If the data are confidential, which I think will be confidential, I will set up my personal server maybe.
When you run electrum, the wallet asks the server for information about all of the addresses in your wallet. The server now knows all of your transactions, where you get your coins from and who you send them to.
Using TOR connection will break the link very easily, and it's easy to connect tor. In my case I have TOR active, so my Electrum do not connect if I open it without running my tor.
Plenty of information can be known about you without knowing your IP address. For example, they know where all your coins come from and where they go, so they can simply ask someone that you have transacted with who you are.