In this context, the main risk is the exfiltration of data about me or my use of my machines to others without my active informed consent.
This tool is designed and proudly intended to allow exactly that. After all, someone taking actions to prevent data collection is unambiguously signalling that they do not consent to being spied on, and this tool intentionally subverts their wishes.
I see your point – it's valid, but perhaps a bit overgeneralized. Let me explain.
You don't wear a balaclava to walk down the street just to avoid being seen – you still share some minimal data with the world, like your appearance.
Similarly, on the Internet, some minimal metadata is inevitably shared, even if you're privacy-conscious.
So a genuine question is: what do you consider acceptable "minimal data" to share with websites? None?
"Minimal data" would be my IP address, as that's necessary in order for traffic to be exchanged.
Everything else should only be collected with my informed consent. If I've consented, then whatever I've consented to is acceptable.
There is absolutely a gray area, though, where data collection may be unobjectionable. The reason I consider it a "gray area" is because it requires trusting whoever is collecting the data, and history has very clearly shown that trust is misplaced. I'm talking about things like: just counting, in the aggregate, how many times users have clicked a button is OK, but recording entire sessions is not (even if that recording is "anonymized"). But as an end user, it's impossible for me to tell who is being well-behaved and who isn't, so I have to assume that everyone is ill-behaved.