Plenty of ways to build credit without revealing where you live or what locations you frequent and what you buy at the drug store. You can get a line of credit, take it out as cash, spend it privately, then pay it back. They learn nothing about you except you pay back your loans, which is the signal they need to give you more credit.
Where will give you a line of credit without knowing where you live? I'd be interested in _specific_ examples - I did not find any when attempting to actually build US credit when I moved here.
It really isn't - credit rating agencies are the most egregious examples by far, and next to impossible to opt out of.