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Gamers are a bit concerned about privacy on the PS5.
It was recently confirmed the DualSense's mic auto-records anything you say when unlocking an in-game trophy. This is just the tip of the iceberg, really.
As a PS5 owner you can limit the data that Sony collects. But you can't turn data collection off entirely.
Here's how to adjust your data collection settings:
Settings -> Users and Accounts -> Privacy -> Data You Provide more