Eduroam provides an authenticated tunnel to your home network which provides you with connectivity. The quality of said authentication varies by institution and some provide much better security and privacy than others. The level of privacy you can expect depends on what country you're in and what institution your account is from.

So yes, Eduroam is no different than roaming on any 4G/5G network, but it's also not worse. If anything, I trust the backend security of Eduroam providers more than I trust mobile carriers.