How is the monitor feeding this data back to the manufacturer if it is connected via HDMI or DisplayPort? From my understanding, these only have low bandwidth reverse communication for control signalling etc, and even if you could repurpose those there would need to be some sort of driver to capture that data and feed it back. Maybe a monitor connected with USB-C could do this.
It’s conceivable that a GPU manufacturer could capture everything you watch with a malicious driver though.