Best bet is to avoid any hardware that mandates an app. Those almost always siphon data in the background.

Hell yeah IEM’s are the best

If you want to be 100% sure no data is being collected by your headphones your nest bet is going to be going back to wired. I assume that is not an answer you want but anything that uses a Bluetooth connection can be used as a vector to collect data on you. The only thing I can think of is either having your data off while using them, but that’s probably just postponing the data collection. Do you have a source on what data is being collected? Would be much easier to find places you can help reduce the amount of data being collected.

I would argue that what Steam did for video games is what Netflix did for movies and tv shows. They made the legal option way more convenient and affordable it wasn’t worth the hassle to pirate. That has changed now (at least in Netflix’s case).