This is a hard problem to fix with UX, as evidenced by Apple's over-simplistic warnings.
e.g. Threads may collect your financial data! But only if you give it to them, usually to purchase ads or verifications, etc.. This scary warning is over-scary.
e.g. Mastodon collects less data about you, but there's no warning for "The backend is unencrypted and likely run by a handful of humans (who are probably nice but answer to nobody)."