usually the "data sharing’ one is separated out and not needed to be approved in order to start the game

This hasn’t been my experience with games at all. The data sharing one typically has to be accepted as well, at least on the console games I’ve played.

I always try to say no to them, and they just boot me back to the title screen, even when I have the game on disc. It’s all region-locked shit so I don’t find this terribly surprising, just really invasive…

Pc gaming is probably better because you actually have options to spoof location and stuff, so they can’t know for sure, maybe that’s where you’ve experienced that?