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To be fair, the comments and posts you leave are technically being collected for display across the lemmyverse. In that sense, there’s never going to be a zero data collection Lemmy client. Still, Liftoff currently has my vote. A decent little FOSS fork of Lemur, I believe.
Indeed, for better or worse nothing here is private. My instance database has all user activity stored even from other instances, such is the nature of ActivityPub.