The big one with telemetry, is unintended side effects due to correlation and deanonymisation - which is actually dead hard to anticipate - very easy to get wrong like rolling your own cryptography :)
The other, around consent and defaults, is that even if your telemetry is perfectly anonymous, benign and beneficial to the end user, you may trigger a security alert and over-zealous investigation and reporting. This can have a massive impact on your reputation, as happened to Audacity. It's really not worth taking the risk.
Hope that helps.
[0] https://www.emerald.com/insight/content/doi/10.1108/S2398-60...