> The car just thinks it can't get a signal, instead of missing one of its radios if you unplugged the cellular module.

I read comments that this may still not be ideal, as when you take it a dealer service (especially during the warranty period), all the collected data is cached locally and may eventually get uploaded to the proverbial mothership at that time. If you can/could tell it to stop collecting generally, then there's nothing to upload, antenna or not.

Not sure how valid this thinking is, but it is worth considering as a 'threat model'.

Unless that also causes it to never enter sleep mode and keep searching for a signal and drain your battery