It would be even more frightening if you were being profiled by your in-game habits.
A lot of information is being sent to the cloud as you log on. As to what that information contains about the player/user... who really knows.
The National Security Agency already infiltrates Xbox Live and they deploy agents in games like World of Warcraft. You can read more about it here: http://www.theguardi...aft-second-life
I think the only data Rockstar collects is the progress of the players in the multiplayer and possibly singleplayer if you have an account on Social Club. However, there is always the possibility that spy agencies like the NSA is collecting private data - at least, I wouldn't rule it out. Literally every action you do online, be it playing multiplayer or surfing the web, could be researched by the biggest online platforms and spy agencies in the world.
Did you know that Google knows about everything you search for?
Did you know that Google can see everything you do if you use Chrome?
Did you know that Facebook can see what you do if you do not log off when you're a Google Chrome user?
I could go on and it simply doesn't end. Welcome to the world we're living in today!