Often I see Nvidia's or Microsoft's or Discord's own services snooping in my installed applications, but it can go much further with, e.g., applications like grammarly that have access to my current buffer and clipboard virtually everywhere.
Another example, if I use Discord's web it has no real way of knowing what I'm doing on my PC, but when I used the desktop client, it showed and notified publicly half the world I was on Fortnite (even though, I was trying the Verse programming language in Fortnite's editor) which means that Discord tracks all of my activities on my computer.
Thus, honestly, I'd rather choose the web version of most applications 9 times out of 10, I simply have no clue what native applications know, do, and it's hard for me to debug what data they are sending and receiving, something that's quite transparent if I open the dev tools.