Strictly speaking if you can control what the proprietary application has access to and what data leaves it, you can make it respect your privacy. This doesn't make the proprietary application equivalent to true Free Software, which respects your freedom to use, share, modify, and share modified copies, but it does reduce the harm that the proprietary application can do to you.

You could say that the privacy community is about restricting what bad actors do, whereas the free software community is about good actors making tools that serve their users. The two concerns are confused so often, I see people come into free software communities suggesting that a firewall is a substitute to software freedom. Maybe that's why I came off as a little harsh there. If you want to learn more I would suggest reading the philosophy of the GNU project.

The reason why people say free software is privacy respecting is because it usually doesn't do all those harmful things that you need a firewall to block. If it did, the community can create a version that does not.