Our team is frequently asked questions regarding privacy in our software.
Recently, a student asked a question regarding ArcGIS Maps for Power BI. Specifically, his organization required a risk assessment to be completed to understand what, if any, data is transmitted to ArcGIS Online.
Happily, Scott Ball provided a thorough answer to this question in his blog here:
FAQ - Data Security in ArcGIS Maps for Power BI
As this space matures, we'll be aggregating similar privacy and security resources from various Esri Teams and referencing them via this space.
--Randall