Maybe it can not spy on you but models can be totally (e.g. politically) biased depending on the country of origin. Try to ask european-, us- or china-trained models about "Tiananmen Massacre" and compare the answers. Or consider Trump's recent decisions to get rid of "woke" AI models.
Classic problem: "Who do you love more: mum or dad?" ;) Surely it's naive thinking but as the EU citizen I feel like I've got a little more influence on "European censorship" than on any other. I suppose that ASML feels the same way