Every Discord user is already in their "ecosystem". Even if you use a third party client, every single message you send is available to them to scan/sell to advertisers or cops with zero barriers whatsoever.

The only benefit of a third party client (besides UX enhancements and customization) is that Discord can't execute malware/spyware natively on your PC. This is something they will inevitably do in the future in an effort to chase endless growth, but afaik it's not happening today. They make enough money from the data they harvest from your chats, at least for now.