I see that it's a non-custodial wallet with nice UX and secure but when I look at privacy policy, looks like they are collecting too many data.

This is what I found in their privacy policy
https://bitpay.com/about/privacy

Email address
Wallet name
Copayer name
Wallet public key
Wallet extended public key
Wallet coin
Wallet multi-sig setup
Transaction details
Type of phone, OS and version, App version, IP address
Wallet ID (Client ID)
App Token
API Authentication Token