You won't get banned for using a 3rd-party client or client mod, unless you abuse the API in doing so (which you're not likely to do accidentally).

Anyway, the short answer is: yes.

I think all of the major client mods on PC have anti-tracking plugins. I use Vencord which comes with a "NoTrack" plugin by default (it disables Discord telemetry, metrics, and crash reporting). It also has a "ClearURLs" plugin that removes tracking elements from URLs. BetterDiscord also has similar plugins.

You can couple these with OpenAsar (it's compatible with all client mods - I use it alongside Vencord). Along with speeding up your Discord, it also comes with a "DoNotTrack" plugin that disables discord telemetry.

On Android, you can use Vendetta which, again, has a "NoTrack" Plugin you can add that disables discord telemetry and tracking.

Sidebar on my Browser and Aliucord I don't use Discord frequently however and you need to be aware of what you type there

I just use betterdiscord with the do not track extension

Not really your question but Revolt is basically a 1to1 copy of discord in terms of UI.

What exactly would you gain privacy wise from a 3rd party client? All communication goes through their servers anyway. I believe even voice calls go through their server and aren't p2p.

Matrix? (Not discord but it can be bridged)

WebCord

I use WebCord on Desktop and Aliucord on Mobile.

Matrix, or IRC.