I don't personally. I'm friends with people who have had bad experiences with people online (e.g. one friend got something in the mail from someone she played a game with even without giving out any information), and some won't play online with strangers at all because of that. And there's everything in between.
If someone asks my gender, I don't mind giving that, simply because English sounds really weird if you avoid pronouns. (And using s/he sounds distant/unfriendly, and flipping a coin or making an assumption feels silly.) I've never had anyone ask my relationship status or ethnicity. I think I'd be comfortable giving that information out if we were having a relevant discussion (like about premarital agreements or racial tensions), but it would be pretty creepy if it was out of the blue. First name I'd probably give out if I was in voice chat for something, because it might feel weird if everyone's calling each other Amanda or Tim and I'm Dolasaur.
"I had to block" - Like you told them "I don't want to share that" and they kept pestering or started harassing you? Or like that was a red flag to you and you immediately went to block them? Unless it was something that was obviously creeper level of identifying you (like asking for your last name or out-of-game contact info), the latter seems like it might cut off people that you genuinely could have enjoyed being friends with. But of course, feeling safe is important, so I wouldn't judge you for following the instincts if that is the situation you're in.