It's theirs, not yours. Fundamentally, it's not about harm - it's about you getting stuff you have no (moral, cultural, and in many places legal) right to.
As for harm: there is possibility of it, a lot of software does collect data for it to be used against users' interests, and I have no reason to believe yours isn't one of them.
I disagree. Breaking into a home and stealing stuff is obviously harmful. I don't think you have demonstrated the harm of "taking your data".