This is intended for technical users only, who understand what all this stuff is and how it works.
Your data is stored on your device, using your browser's localStorage mechanism. If your browser shares this between devices and you don't like that, complain to whoever made your browser.
Your data is sent to and processed by whoever controls the URL specified in "API endpoint" (which you can specify yourself) when you press the "Enter" button. I don't know what they do with it, you should ask them, and if you don't like their answer use a different API provider instead.