It’s extremely unlikely that they are going to do any kind of deep traffic inspection in the router/modem itself. Inspecting network traffic is very intensive though and gives very little value since almost all traffic is encrypted/HTTPS today, with all major browsers even showing scare warnings if’s regular unencrypted HTTP. Potentially they could track DNS queries, but you can mitigate this with DNS over TLS or DNS over HTTPS (For best privacy I would recommend Mullvad: https://mullvad.net/en/help/dns-over-https-and-dns-over-tls)
And of course, make sure that anything you are self-hosting is encrypted and using proper HTTPS certificates. I would recommend setting up a reverse proxy like Nginx or Traefik that you expose. Then you can route to different internal services over the same port based on hostname. Also make sure you have a good certificate from Letsencrypt
While I would say sending MAC Addresses and Wi-Fi names is very far from tracking everything you do on the internet, this highlight another very important point: The routers that provided by ISPs are usually very cheap and crappy, and this in itself security implications.
Like this example of pulling a script from an unverified HTTP source and executing it as root 🤯… Not to mention that firewalling and port forward configuration options may be pretty simplified and limited.