As they are closed source no one can tell you their true privacy policy. It seems better than average from what I've read but you never know...
Personally I use logseq and sync the files via a Nextcloud instance. I can only recommend it, although I also recommend spending an hour to learn the tagging and linking logic and reading through their guide on what's possible.
I still only leverage a minor part of the potential myself.
One that is closer to onenote (I think, never used onenote) is Joplin.