That'd be great. My therapist doesn't put her notes into an EMR or anything, so there's no data warehouse where my credit card, legal name, SSN, and personal nightmares all live in the same SQL row.
To bill insurance, most (all?) therapists are required to provide Diagnostic Assessments. Many also use purpose built software tools for session notes. Your therapist may not do this, but I would argue the vast majority are indeed putting highly confidential client information in a digital record of some kind.
If you matter to a sufficiently powerful enemy, realistically you're screwed almost no matter what you do. There's only so many precautions you can take, short of joining a group of Bedouins who agree to keep you hidden for the rest of your life, or perhaps fleeing to the depths of the Amazon.
That one online help company got hacked, so even assuming they aren't malicious, having all that personal psych data under one roof makes them a juicy target.
... I mean, certainly for psychiatry it _does_; your psychiatrist absolutely cannot sell your personal information to random marketing companies, and in general medical confidentiality is fairly strong. The others will vary by jurisdiction based on how or if they're regulated.
