assuming you install your own operating system it wouldn't. I guess gigabyte did that thing where it would install their software with no user input but that was windows only and a disable-able bios option. I think the world also forgot about intel me but while I stub that out in any computer that I can, I don't think that is a potential vector for this either.
Yeah it's not really so much about data loss as it is about it randomly dying one day. Or worse, slowly dying and being annoyingly inconsistent about operating properly. These devices have very low QC standards.
I don't think it'll actually cause data loss (although that's a possibility if there's any corruption introduced through invisible failures), but I usually find these devices present headaches that outweigh their low price.