Hi and welcome
As far as I’m aware* the add-on does not collect any personal information and it does not connect to the internet. What you do with your games is another thing of course.
* I’m absolutely sure about that, but I’m not a lawyer and this entire answer (and my following answers if existing) are no legal advice.
However downloading Armory from itch.io or cloning (downloading) the repository from GitHub might be tracked by those websites for various purposes, so if that is of any concern you should read their privacy policies. The same holds true if you update the SDK from within the Armory preferences panel, which will call Git in the background to clone the repository from GitHub. If you download a monthly Armory release from itch.io, you don’t need to use GitHub at all.
Feel free to ask more questions if the above isn’t specific enough :)