Because I don’t want them to connect all the data without my consent. I don’t want single government employees to have access to all my data at once.
On the other hand, when these connected systems are in place it's not like employees can just tap your name and get the data, there is some Auth process with your eID/certificate.
It all boils down to people's trust in the government. In Scandinavian countries that trust is high. In Southern European countries it's very low (and much lower in the US).
10 years ago people would have called you paranoid now you're already too late