The impact of a few more network calls and decreased privacy is basically never felt by users beyond this abstract "they're spying on me" realization. The impact of this telemetry for a product development team is material.
Not saying that telemetry more valuable than privacy, just that it's a straightforward decision for a company to make when real benefits are only counterbalanced by abstract privacy concerns. This is why it's so universally applied across apps and tools developed commercially.
For most CLIs, I definitely feel extra network calls because they translate to real latency for commands that _should_ be quick.
If I run "gh alias set foo bar", and that takes even a marginally perceptible amount of time, I'll feel like the tool I'm using is poorly built since a local alias obviously doesn't need network calls.
I do see that `gh` is spawning a child to do sending in the background (https://github.com/cli/cli/blob/3ad29588b8bf9f2390be652f46ee...), which also is something I'd be annoyed at since having background processes lingering in a shell's session is bad manners for a command that doesn't have a very good reason to do so.