Any program you run could be compromising your privacy. You prove that it isn't by either auditing source if it's open source, decompiling the code to poke around if not, sniffing using Wireshark to check for data transmission, if it's not a network service or software you can firewall it, or trust. How do you know your browser isn't currently submitting your data everywhere? How do you know your OS isn't? One of those four ways. Most people don't audit source, most people decompile most stuff, Steam is a network service so preventing it from sending any data would be like preventing a browser from sending any data, and most people don't Wireshark their own computer all the time 24/7. As a result, most people trust. It's entirely possible that Steam is currently reading all of your browser's saved credit card details and using it to buy stuff for Gabe's kids on Amazon. It's entirely possible any of the games you launch through Steam are as well. It's entirely possible literally any program could be doing that.
Has there been any evidence submitted, including by the source of this report, that contradicts what Gabe is saying here?