Yes exactly, and worse, the amount of data a Nostr relay can pull from you and those in your circle is pretty worrying. There could easily be an issue with "honeypot relays", relays that are set up to be fast and convenient, with owners that appear altruistic and on message, and terms of service that say all the right things (and more), but in truth exist to create data profiles of specific people and their followers.

The honeypot relay problem is one not talked about much. The solution is as you say, everyone runs their own relay. But that's basically a PDS.