Further down the thread someone associated with the company, u/spolu, clarified that yes, XP1 does currently store requests for debugging purposes, but that a formal privacy policy is forthcoming.

Hopefully that policy can assuage my concerns, since I'd love to use this! It looks similar to the Edge AI features Microsoft teased at the new-bing release, and I keep thinking how handy it would be to have that toolbox available while I'm browsing for work.