I have used HotJar, though not extensively. I played with it a bit and then handed it off to another dev.
I feel tracking tools are more for marketing and conversions. You're looking at what the user is doing when going through the process of getting the to signup.
I wouldn't think to use this tool in the inner portion of the app. On the outer part, there's not much to identify you. Anything session recording or heatmap is a step beyond what Google Analytics is doing, but it's not going to be sensitive data.
Everything inside the app is sensitive. If there's a possibility of my actions being recorded, I would rather get warned about that or given a chance to opt-in for a session in return for a credit.
This is the sort of thing I'm having less of a stomach for as the internet gets more nuts and my trail of dead sign-ups has grown over two decades plus some years. Your app better be damn good for me to get over that hesitance. And as I get older, I find that almost no apps are that good. I'll go to paper and pencil. IDGAF. Though I'm willing to give in a bit more to major names, even then we're seeing that Amazon and Microsoft is listening into voice from some of their products.
I also think this is lazy for getting info on the usage of the actual app. Go ahead and analyze how your conversion process is going as you change your design. But for the actual app, maybe sit people down in front of you. Have people take a video of their usage. Ask for surveys. Don't just record my session of entering all the times I'm getting laid (along with their vital stats) without me knowing about it.