I noticed a few years ago that even DRM-free single-player games were sending back analytics. Due partially to that, I started living by a simple rule: I don't trust anything that doesn't trust me. If I can't read the source code, I don't trust it.
All proprietary software, including video games, I run under firejail with the "--net=none" argument. Yeah, that severely hamstrings what multiplayer games I can play, but I don't really like many multiplayer games (outside of couch multiplayer) anyway. This way I don't have to trust it. It can't do anything I don't want it to.