Basically all source is open. Eyes are plenty. Somebody would raise a stink. People can also notice things while monitoring their network via a number of tools like Wireshark, etc. All it takes is one person to notice and share their findings.

It also helps that "Linux" isn't a monolith. One person's installation can be very different from another in terms of the software used. If one piece of software collects, that collection isn't as valuable as Microsoft's because the userbase is much smaller.

It's not perfect, but it's a hell of a lot better. A lot more resistant to abuse. Security in a lot of contexts tends to be relative like that. One's house isn't impenetrable; it's just better than another, in part because the neighborhood is better.