To share a little more detail, Fullstory is an analytics platform that specializes in session replay, which is a fairly standard feature among analytics tools in this day and age. Datadog has a good write-up on it that I recommend checking out! While we don't explicitly identify Fullstory by name, there is definitely a section of our privacy policy that discloses the collection of usage data.
The performance impact of this integration is largely negligible for the reason that Jack mentions above, but I can certainly appreciate concerns around data privacy. Currently, user sessions on Cloud instances are polled at a rate of less than 2% and, even then, the actual page content is being aggressively masked. You can read more about how this is done over here. As a complete aside, I'll add that we recently announced the ability for customers to build out their own Fullstory integration.
Last but not least, I'll reiterate the message that we take data security seriously, but agree that there was a missed opportunity to be more clear about the existence of this particular integration. Don't hesitate to follow up here or via DM if you have any additional questions, @emozio. 