Why the hell would they let you opt out of this scanning process? This is an issue of illegal images, not diagnostic data. Are you really expecting them to effectively say, "If you'd like to be able to get away scot free with uploading child porn images to our servers, click here to opt out" 🤦♂️
No data from this scan is being sent to Apple unless you CHOOSE to do so by uploading the files to iCloud AND you've had a certain number of images identified as CSAM. So basically, for everyone except people who are trying to distribute child porn, Apple never sees any scanning data from your phone. Well, everyone except that less than 1 in a trillion person (and even then the review process would easily resolve that and nothing would happen).