Case studies, focus groups, surveys and interviews are great ways to find the unknown unknowns. Of course, you need to pay people to participate in them, and then you need to pay expensive employees to conduct, collect and analyze the results.
It's often just cheaper to spy on customers, though, and pretend that there is no other possible way to conduct business.
No they're not, because the vast majority of people simply won't be bothered, and most people probably aren't as reliable as concrete data.
Telemetry that tells you which features are popular is useful but does need filtering to avoid identifying individual users. But sending back errors and crashes is what's really important.
You can do things like have feedback forms but typically users don't like sending that in because they feel like they're doing work for free.