Invidition does not collect any data.
If you activated module synchronization through Firefox Sync, your Invidition settings will be synchronized across all of your devices by using Mozilla services. You should refer to their Privacy Policy
The Invidious instance you choose can collect data about you. Read their Privacy Policy before choosing an instance.
By default, invidio.us instance is choosen. By using this instance, you are subject to their Privacy Policy
If you disable the proxy, you'll send requests to googlevideo.com, owned by Google and will be then subject to their Privacy Policy