No, Cinema4D is not spying on you.

The alert you're seeing is occurring because you've moved the color picker outside the C4D UI, where it then needs to access the rest of your screen to see whatever colors you're trying to select beyond its window.

You can turn this off under the Accessibility section of the Privacy & Security section of the Sys Preferences, but then you won't be able to sample colors outside its interface.

Feel free to contact Support directly with whatever other queries you may have and we'll respond typically within 24 hours barring weekends and holidays: https://support.maxon.net/hc/en-us/requests/new