Ledger Live gathers the whole
bunch of data which threatens your privacy and being connected (on default) to company's server sends collected stuff to their analytics.
Thus connecting it to your own node (like Bitcoin Core) ensures those data will never leave your computer. The instruction on setting up the LL - Bitcoin Core working tandem can be found
here. I can't prove it and don't have the skills to interpret code, but I am pretty sure that the moment you create your crypto accounts using Ledger Live (and that's the only way you can do it), Ledger will have enough data on you to know and track what your addresses are. Thus, they can also see your balance in the future, with or without you querying everything through your own node.