Correct typically this is the case but that doesn't mean you can assume web apps are privacy preserving, quite the contrary.

There are tradeoffs so it's hard to say web apps are categorically better, but it's probably a decent heuristic to say they are.

From a networking perspective with a native process and running a firewall such as Little Snitch, you can have exact control over the network connections a process makes, whereas with a web app you typically can't control that very easily.

But then it gets worse with native when you look at telemetry. The discord EXE hoovers things up such as all the processes running on your machine and sends this to their servers. If you doubt this just request all your data under GDPR law (or get a friend to) and look at it yourself. Browser APIs just don't support that kind of thing.