I didn't make the Nazi comparison, and in fact I think it's a straw man. EVerything that concerns you about US/corporate data collection wrt social networks, internet monitoring/prism, mass surveillance etc, is also a concern with statistics collection.
Finding yourself questioned, monitored, surveilled, on any kind of "list" (no-fly, hollywood-black) or at any kind of increased risk or action by any actor, state or otherwise, is a risk to be weighed against whatever gain you might make from accurate stats.
> Who knows what the next evil empire will pick as an excuse to murder people?
An argument for giving up less discriminating information in general.
> You can't run a society on the assumption it's doomed and everyone will get massacred.
Much of the US constitution seems centered on protecting the people from an overly powerful government, and restricting said power. Make this sentence less hyperbolic, and you can run a society based on certain assumptions of corruption and abuse.