Often in this discussion it's about a society-wide standard. The benefit to "me" might be that e.g. the police can do their job well, hopefully protecting me from criminals, while sticking to reasonable and trusted privacy controls (e.g. intrusive data collection requires a court warrant, and I trust the courts enough to do a good job). That's very different to uploading all social media conversations logs to NSA because "nothing to hide".
Looping back to this article, it is unclear if there was ever ant good reason to record religion in Amsterdam. Nor would I exclusively blame administrative procedures on the Holocaust - though I'm sure it made matters worse.