Yesterday they said like 15 times, that when you allow ChatGPT to get your request then it can be used. In my opinion that means, that ChatGPT gets all the Informations from that request. I guess included with most of your data. 

 Yea they are usually about everything done on device but this is all being offloaded to the cloud aka apple servers. They were saying they figured out ultra secure cloud but who really knows. Never trust big corps.