>A store can sell its data to authoritarian governments that can jail people

I find it unlikely that my local supermarket is going to sell my purchasing habits to China or Iran. I'm far more worried about my local government getting their hands on it, but at that point I don't see the distinction.

>to insurance companies that in some countries can prevent you from getting a credit card, a loan or even a job.

In what country are insurance companies determining whether you can get a credit card/loan/job? Are you sure you don't mean credit bureaus?