Not every extension has access to everything. The things that it has access is listed. And if they are open source, then it can be audited that it does not collect data. The filter lists are local on your computer.
However I do understand the concern, it just does not apply to everything. But off course, it would be better if there is a builtin functionality. I am just not aware of something like that in Firefox itself. That's why I suggested the best next thing.