I do think the more compelling reason not to connect it is because as a general rule the updates they put out make the user experience worse over time and it's better to have a connected device that's easier/cheaper to replace when the cumulative security/compatability updates cause a slow down (Without getting in to anti user features like devoting more screen space to ads each update).

Some hypothetical concrete harms that are technically possible when the data is being collected:

Targeted advertising outing someones behaviour because they watched a video related to that topic on the tv.

The TV reporting you for piracy for playing a home video of your kids dancing to copyrighted music.

Reported to the government for watching speeches from an oposition party.