If it is in the EU, yes you do. Just compare the difference between what Toyota does with customer data in the US and the EU. Preferably, I can remove the sim card myself and all connectivity stops. If I cannot do that hardware wise myself, I havw to assume I am tracked.
The different OEM approaches between the US and EU show you how important legislation is. Especiqlly since Tesla's zrack record regarding privacy is abysmal.