Nowhere it stays that they will collect data with arent connected to them. Thus random stuff on SD.That reminds me of this stupid drama there was on a certain MMO recently because they dared checking your running processes to detect cheaters.
Of course that was BS from lame cheaters and friends who tried every loophole possible to blame a company rather than their own behavior.
If you play against the rules, don't blame the company over violation of private information. There's a ToS everyone is supposed to read before they access their services.
Let's have a look here:
https://www.nintendo.com/privacy-policy
Specifically:
Information we collect when you use our services
We also collect and process information about your use of our services. This can include information about your device, your location, your interaction with our services and other Nintendo users, your content and your purchases.
Your content
Our services may allow you to create, upload or share content such as text, images, audio, video, or other content that you create or is licensed to you. When you use any of our services that include these or other similar capabilities we may collect your content in accordance with our user agreements or terms of use and this policy.
They're well within their right to check the content on your microsd while you're using it on your switch.
If they read your private data from your SD without telling you they can't do much. Unless it is already in ToS, which I don't know. (who actually read it?)