I wouldn't use Apple TV, Shield or other proprietary black boxes if you want a private setup. Linux on a mini-PC with Plasma Bigscreen, your own over-the-air antenna for local TV, VacuumTube for YT, and the high seas for other content.
I'm certain there are a non-zero number of TVs that either attempt to auto-join popular wifi hotspots (xfinity/tmobile/starbucks/etc.) and/or have cellular connections for telemetry.
Thinking more on this I think a business opportunity in the future will be companies that design hardware stacks that can go in random appliances that can gather usage information in the name of telemetry.
I give it +/- 5 years before an OTS coffee maker at walmart phones home.