This isn't an entirely "new" feature, in a way.
You always had access to see what your friends were watching on your own server. This is a consequences of being an admin, you kind of have to have access to that kind of data to manage your system and streams.
This seems to just extend it to showing you what they're watching on other servers, as well.
Anyway, if the concern is that Plex, the company, has access to this data, then yeah, you probably should have read the privacy policy a little closer.
Jellyfin is there and doesn't have a parent company to "phone home" data to.