iCloud Private Relay (available on every macOS and iOS device in recent years) uses OHTTP to obscure your identity from sites you visit.
Collusion between the relay and gateway is exactly the situation they warn breaks the privacy features of OHTTP.
And while some might think "well Apple controls the whole OS, they can always spy on you"... yes, but I'm operating under the assumption that they're not currently doing this, and that collecting data at the relay level may be easier/more desirable/discrete for them.