As an American, I'd rather have a foreign actor spying on me than my own government. The foreign actor has no jurisdiction over me.
Only directly. The Five Eyes and other 'partners' routinely share intelligence with each other that their counterparts would face barriers to collecting.
You can be subjected to blackmail and/or other hostile actions from a foreign jurisdiction.
Also, I consider that I would have more recourse against an actor from my own jurisdiction, I think you have pretty much zero recourse against the government of a hostile third country.