That's true, but if it is trying to exfiltrate data you will probably see more packets coming out than going in. If the concern is that the SSL cert they add allows them to decrypt your data, and you see it sending your requests anywhere it shouldn't, you'll get a window into what they are trying to do. It's not perfect, but it is possible to gain information in such a way.
Software like this has way too many opportunities to exfiltrate information for that approach to work.