I don't have any social media accounts. Last year I crossed the border for the first time in 20 years (to Canada and back) and wasn't asked for anything.
It might be the case that having no online presence reduces your chances of being flagged. Fewer obvious associations, fewer chances for "Six Degrees of Kevin Bacon" to occur, less chance of some algorithm picking you out of the crowd.
There were some scare pieces a few years ago that somehow not having social media accounts would make one suspect when going to apply for another job, since background checks wouldn't reveal any online presence and that must mean that you're socially defective somehow. It seems like it was probably just a way to goad stragglers into adoption.
The upside of not using social media is better relationships and better mental health.
Nothing really. I don't have twitter, my linkedin is just like my online profile page, i haven't log on to facebook for years. The most "social" apps on my phone are probably yelp, google map and email. Honest I don't feel anything different.