You definitively should do that, but I doubt that it will prevent your data from being trained on. It sucks, but that's the reality now. I stopped using Spotify a while ago. Never using it again for sure.
> non-exclusive, transferable, sublicensable, royalty-free, fully paid, irrevocable, worldwide license to reproduce, make available, perform and display, translate, modify, create derivative works from, distribute, and otherwise use any such User Content through any medium, whether alone or in combination with other Content or materials...
I don't know how much of it is enforceable in court, but I wouldn't want to take that risk if I hosted anything as an indie.
I also fairly liked Qobuz, a French service, but ended up dropping it because it didn't have the kind of "just play something I like" feature that Spotify and Tidal have made pretty standard now (daily mixes, etc). I hate the laziness of it but I've gotten used to it; there are days/times I just want to listen to music of a certain mood while I'm working on something and don't want to think hard about what to put on.
Actually, because you can play radio stations and some radio stations play news, news is on there.