One downside of always-online DRM is that it kind of deanonymizes you. I mean, the game retailer knows that a given person is at a given IP address at a given time, and that information has value that could be used down the line to combine with other sources of data.
Avoiding that would require something like a VPN system that uses a different IP for different services.
It doesn't matter any more than any other individual data point. The concern is that when all the data points are collated, it gives a LOT more information about someone than many people realize.
It's not the game in particular -- it could be any service that one makes use of over extended period of time. The issue is that one can correlate with other data.