Infura is the default Remote Procedure Call (RPC) provider in MetaMask. When you use Infura as your default RPC provider in MetaMask, Infura will collect your IP address and your Ethereum wallet address when you send a transaction.
This information surfaced in the newly announced privacy policy, which also states that when visiting Consensys sites (the company that owns MetaMask), personal information will be collected from each user for processing, which includes:
Further identity information, such as your country of birth, nationality, social security number, place of birth, employer and occupation;
Passport and/or photo ID for identity verification purposes;
Information required to comply with anti-money laundering (AML) laws and know-your-customer (KYC) requirements (such as nationality and place of birth);
Source of funds for participating in token launches; and
Information that you give them in relation to your purchased token holdings, such as earnings received from staking, and the number of tokens in your wallet.
It's funny how privacy policies are now being used to kill that privacy.