Because your PlayStation couldn't possibly be spying on you?
Because my playstation spies on my games, not my whole life. It's limitation of scope.
I guess for that you could have a Windows machine just for gaming. No need to deal with the trade-offs of that come with using a console (if that matters to you).
Not having a windows machine is one of the benefits of not having a windows machine! Using a console for gaming is cheaper, more secure, and more reliable then using a windows machine. The only downside is i don't have access to the wide ocean of steam and gog releases, but it's a fair trade as far as I'm concerned.
Though that would likely be a bit more expensive, or if cheaper it might be by compromising on GPU performance.