I am the author of that answer that raised your concern.
Let me first try to ease you, you can use OpenID and ignore the issue. It will certainly work and you are perhaps not that important guy to be a target of some secret plot.
This aside there is a genuine issue with this type of data collection. But it's not just about OpenID. There are more examples you encounter in your everyday:
- OpenID (the point of this question)
- Gravatars (basically like tracking images)
- Facebook, Twitter and other social media buttons "graciously" offered to implant into the sites worldwide
- Files you distribute over a CDN (Content Delivery Network) like jQuery library located on Google or Microsoft servers to profit from their caching in the users' browsers. That concern was even raised in the Pro ASP.NET MVC 2 Framework book by Steven Sanderson.
- Google Analytics. There were even talks in Germany at the government level to ban it in the country or even EU-wide.
- Tracking cookies, the focus of a recent EU initiative to force sites to explicitly ask for a permission to store non-essential cookies
- Google's Chrome browser and Android OS which track WLANs in the neighborhood and regularly submit the data (MAC addresses etc.) to Google
The point with many "free" services is that they do not generate any explicit income but only result in serious expenditures (traffic). Gathering data is basically the only means to monetize them. And offering them for free is a great way to get users into the mousetrap.
The fact that it is not my paranoia is effectively confirmed by those issues beginning to get addressed at the governments level worldwide.
I've only suggested that you stay aware of those trends and avoid getting involved wherever possible.