Is there a way to check whether LittleSnitch is sending my private data to some bad dude?
You can always use Network Monitor Sidekick to check on outbound and inbound traffic. Essentially, whatever goes out is allowed by LittleSnitch. Identifying the nature of the data and resolving the destination IP addresses is another matter altogether.
However, I would just like to add this: If you are really worried LittleSnitch has been corrupted, etc, why not just delete the app, along with its preferences, etc, and re-download and install fresh from the web itself?
try the famous wireshark network sniffer, then you will see whats flying thru your fibers...