Two things worth separating, because they get argued as one.
Whether the data is being collected is a question about your machine and its modem. Who can read it, and for how long is a question about the portal your supplier and clinic use, and about the account relationships behind it — which can outlive your relationship with that supplier unless somebody removes them.
Neither question has a single answer across countries or manufacturers, and neither is answered by the leaflet in the box. The one thing under your own control in every case is keeping the detailed record yourself: How to Download CPAP Data from Your SD Card (ResMed, Philips, Löwenstein, BMC, Hoffrichter) covers getting it off the card.