You'd be the one controlling the off-switch and the physical storage devices for the data. I'd think that this fact takes most of the potential creep out. What am I not seeing here?
It generates responses locally, but does your data stay local? It's fine if you only ever use it on a device that you leave offline 100% of the time, but otherwise I'd pay close attention to what it's doing. Nvidia doesn't have a great track record when it comes to privacy (for example: https://news.ycombinator.com/item?id=12884762).