I used to not but I wish I did. I want to know where pictures were taken. Photo album software like Immich can also make cool maps out of your photos this way and group photos by location.
As long as you're not sharing the pictures with anyone, there is no loss of privacy whatsoever in doing this. I don't see any reason to generally label it as "not great for privacy".
When sharing publicly, you need to be careful of course and run the images through an EXIF metadata stripper.