Firefox is looking much better — the megalomania of MS and other big operations is becoming far too invasive, IMHO. No thanks.
Firefox phones home too. Modern browsers just need to do that in order to provide certain features. The question is do you trust who they’re phoning home to.
With Firefox though you could check the code to see if they’re telling the truth about what the browser sends. You can also sniff the network traffic for any browser. What you can’t check is whether they retain data such as IP addresses at the other end.