Honestly? Assume they collect everything, such as location, the pictures and videos taken (and not taken), flight paths (this one I know for sure), telemetry from the device and drone, etc. Even if they're not doing it now there's no reason they wouldn't in the future, they are basically a monopoly when it comes to consumer drones and they are in China, they don't give a ** about privacy.
Ironically, I do recommend them, they simply are the only option in the market right now and all of their drones have something interesting to offer.
If you have log sync turned on - which I think is the default - your entire flight path is sent to the cloud. There are also a number of thumbnails from the flight visible in the web app. They're very low resolution, but I don't know if that's all that's sent or if they're downscaling them server side.
Ironically, I do recommend them, they simply are the only option in the market right now and all of their drones have something interesting to offer.