What kind of personal identifiable information is captured when a user joins a chat on Messenger?
For Facebook Messenger, whenever a user joins the chat, Facebook will assign a page-scoped ID (PSID) to the user. This ID is page-specific, meaning that the IDs across different communication channels are different even for the same person.
For details, please click here for the documentation (matching).
Beyond the PSID, information like the first name, last name, gender & locale will be available if the user sets these as public information.