@Duncan ******
you have to show a valid ticket, and they can check if it's valid. Unless you could web check-in in advance (what usually is not possible until 14 or less days before the flight) you only have your e-ticket, and they can want to check that it's a real paid e-ticket.
Personal data protection has no matter here because you're not giving any personal data to third party - trust me, I'm a web developer from EU, the last half a year I have struggled as f*ck with the f*ck GDPR ;)
In EU every company are going to check that. At least as my experience (Qatar and Cathay Pacific) and my friend's experience.
And remember that this is not only the airline - the inmigration officer can ask for it as well. It's not as easy as not fliying with some companies.
Anyway, I can not understand the "I'd change airlines". If my onward ticket is legit, I have absolutly no problem they check it in the company website - with my previous consent.
I've traveled with TV sometimes. But last year I traveled with visa exempt because I was arriving at CM and two days later traveling to Laos - it was a Laos-Camboya-Vietnam trip. This year I came in another exempt because I'm applying for an ED Visa, and in my country is a pain to get a SETV/METV (3 days, and implies a 500Km travel and hotel stay or pay an absurd fee to UPS)