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Application profiling guidance

I’ve been thinking about ways to check performance of my game while it’s running on a computer outside of my dev environment, and there’s a cloud-based solution from New Relic (https://newrelic.com/application-monitoring) which looks like it would do that. I’m wondering if anyone else is using something similar to gather performance and usage statistics from games as they are running? I’m also pondering what I as a customer would feel if a game I bought had code to send usage information to the cloud for analysis by the developer. I haven’t confirmed it, but it seems like Steam is doing something like that for the games I play on there.

I would be very interested in hearing what other developers have done to be able to track down performance issues and bugs and whether anyone else has used something like New Relic to do application monitoring.