In addition to understanding what data is being sent back, also the amount of data an application has access to is wildly different between browser and desktop apps. There's basically no asking permission to your files with a desktop app, it just always has access to all of the data on your computer in most cases.

Yesterday I got a call from a tech support scam, claiming to be comcast security. The very first thing they instructed me to do was to download a desktop app, teamviewer. When I refused to do so, there was nothing else they could do besides read my name and address to me.