Not so sure about the signal messages if they're stored properly encrypted by the app. But yeah, technically they could probably take screenshots. You could do a MiTM with a https proxy and look at wireshark to see what it sends.

Your location, contacts, nearby devices, nearby WiFi, search history, voice query recordings, which apps you install and use and when, a log of activity on your phone, your advertising profile, which accounts you set up on the phone, possibly facial recognition for photos you take, who you call and message (if using default apps) including which phone numbers you connect to, events in your calendar, browsing history (if using default browser) and YouTube activity (if using the YouTube app).

Those are the main ones that are usually mentioned in articles about this. Some of it won't apply if you use only open source apps and no Google apps. But some of it is baked into the OS and the Play Services, and difficult or impossible to avoid.

There's not really a stock Android though. Every manufacturer has its own flavor, so unless you go out of your way to build AOSP for your device, it could be anything.