Using The Approved Set™ from your browser or OS carries no privacy issues: it's just another little bit of data your machine pulls down from some mothership periodically, along with everyone else. There's nothing distinguishing you from anyone else there.

You may want to pull landmarks from CAs outside of The Approved Set™ for inclusion in what your machine trusts, and this means you'll need data from somewhere else periodically. All the usual privacy concerns over how you get what from where apply; if you're doing a web transaction a third party may be able to see your DNS lookup, your connection to port 443, and the amount of traffic you exchange, but they shouldn't be able to see what you asked for or what you go. Your OS or browser can snitch on you as normal, though.

I don't personally see any new privacy threats, but I may not have considered all angles.