d9780 you need to differentiate between security (protect data against unauthorized access), privacy (control over what data you share and with whom) and anonymity (not being identifiable, mostly by hiding in a crowd).
With MacOS you get really decent security (more compared to Windows, much more compared to Ubuntu). However your privacy (especially towards Apple) is down the drain as you have little control over it and Apple has been and will be patronizing you. Btw. anonymity you won't get easily from any system out there.
If you install Linux on a Macbook (which is currently limited to Asahi Linux and will not work with everything), you don't gain anything as you don't have more security or privacy, simply the Apple Hardware which isn't working so well with Linux.
There are way more details to this, but the gist of it is you need to make a threat model and find the right answer for yourself. I personally don't trust Apple with my data, but I trust in their Laptop and Desktop security model for Business stuff that can be shared. Privately, I'm running Fedora Silverblue on a Framework 13 Laptop as these devices have great Linux compatibility (among other advantages), but now I have to do better OPSEC with encryption and security.
I'd really like to fully switch to GrapheneOS for all desktop experiences once AOSP has a proper desktop mode. I would get better security and privacy (and foundation for anonymity) by default.