To prevent standard data leaking or rather stealing like in this case, linux is a quite solid choice.
But if you think you are a high profile target, you should probably learn how to deactivate Intels ME and co.
And if you are really paranoid, you should assume that there are hardware backdoors. But what do you do then? Build your computer from scratch?
Multiply that by all the multibillion dollar other companies, the tens of thousand open source focused smaller and large companies, the hobbyists, the enthusiasts, the CS professors, the CS undergrad and grad students, the PHD candidates who would be thrilled to discover a flaw on the basis of which they could write their thesis, etc. and I think one can have a fair degree of confidence.
There’s still a decent chance something would be missed. But it’s much smaller than the chance that the proprietary OS owners, whom we know for a fact phone home and have been trying to collect increasing amounts of data, are sending stuff we may not know about.
Many world-class companies depend on Windows, so does that mean you think Windows is safe?
An individual does not have the same access to custom tools, and teams of competent people, that ensure their usage of the Linux ecology is secure.
A recent example: I was investigating using CloudFlare Functions, because I think CloudFlare has world-class security and that “serverless” product avoids many security issues I might have with other solutions. Yet one setup step suggested piping in a script from curl to shell (commonly suggested for install steps!). Even worse, https://github.com/cloudflare/wrangler2 is their CLI tool to help development, and Wrangler is based on the node ecology, which is completely insecurable as an individual developer IMHO (trillion dollar companies can probably secure the dev environment). I use a VM to provide some sandboxing, but it still leaves me feeling icky.