To add to that, apart from the Apple cloud processing, data can be sent to OpenAI if a prompt is deemed too complex, but even then you're asked whether or not you want it to talk to OpenAI's servers each time, and apparently OpenAI isn't allowed to store any of that data, tho idk how much I'd trust that part.
They also claim that whenever data is sent off device, only the data directly relevant to the prompt is sent.