Since it goes through a reverse proxy, wouldn't it not leak personal data the way using it directly would? If using GA directly, the browser uses my google-session data which GA can track between sites/domains. But here the proxy only gets the unique session for this proxy, so it doesn't know who I am. Or?
I checked the analytics dashboard yesterday and updated the website: the only data that I'm not getting though is the users country/city and their provider. So in a sense it's better for your privacy: the IP is not your own!
I'm not an expert of Analytics but I'm also assuming that since the cookies are different (because the HTTP call to analytics happens on a different domain than usual) it shouldn't be able to track you just as well: G Analytics don't know your IP and have no trace of your previous anonymous IDs set in your cookies!
I would be interested in knowing myself. From my analytics dashboard I can tell you that I get some browser data, like language. But I'm not sure if it's safer for the users, or the data is any worse for the tracker!
The cookies will be different because the host is different, but I think that Netlify does a good job at keeping the connection like for like.