You have absolutely no way of knowing what the owners of the random Electrum servers you connect to are doing with the data they gather from you. Some servers are being run directly by blockchain analysis companies.
I just gave un example and we are not talking about some random people who run servers, we are talking about official wallet developers who openly say what they are doing.
It's well known fact that blockchain analysis companies and government agencies run their servers for tracking, but that is totally different story.
Let's not mix wallet manufacturers with third parties.
Even although Trezor say they don't collect these things, you are still using their servers to update your addresses and transactions and so they could keep logs if they wanted. Just like a VPN, you cannot verify what they say. And you can connect any wallet over Tor if you want.
I guess you can sort off verify it if you know what you are doing, because Trezor and their Trezor Suite application are all open source.
And yes I know running your own bitcoin node is bets option for privacy, it's not even that hard for average Joe to do it.