When you use any piece of Internet-enabled software, any and all data that passes through it can theoretically be copied and siphoned off back to the authors of the software.

Should they do it? No. Can they do it? Yes.

Does Mozilla do it? They say they don't, and I'm inclined to trust them. Do other major browsers do it? Absolutely.

As regards your physical location, geoIP databases can get pretty close these days.