I feel exactly the opposite.

As a US citizen living in the US, even if the Chinese were to have every bit of my private data, they wouldn't really pose any threat to me as I'm not in their jurisdiction. The US, on the other hand, has a very real ability to use my data against me.

With very few exceptions (e.g. you are being explicitly targeted by a hostile nation-state for high-profile activities), surveillance by foreign governments will always pose less risk than surveillance by your own government.