And even if they don't sell the data it will still be a huge attraction for all kinds of black-hats.
Also, at least democracies have formal mechanisms for holding governments accountable, even if these mechanisms are often corrupted or flawed.
Living in a democracy means you have options beyond “voting with your feet”.
Look at the history of how the government treats minorities (racial, religious, non straight, etc)
But I feel like this is kind of outside scope of what we were talking about? The US is a flawed democracy, no doubt, and some political scientists argue it no longer functions as a democracy, but, it is still, both formally and somewhat in practice, a democracy.