For the people that do realize it needs to be trained, most of them probably think that it's trained using internal data. Data created at Google or such.
Only people that really understand ML are likely to realize they need the scale of data only their customers can provide to do a really good job (_if_ they even do need that).
My 74 years old father in law uses Google Assistant and Google Home way more than I do; they are a brilliant way for him to interact with technology.
He has absolutely no inkling that any of that leaves the little gray device in his kitchen, let alone any "Cloud" thing in the background, let alone that anybody is listening to it.
He would be genuinely, completely surprised, and is likely to be very uncomfortable, to be presented with any of these facts.
I will venture that he's more representative of an average user than you or I; as techies, we must consciously remind ourselves that most people are not techies, otherwise our view of society will be skewed in the extreme. :-/
*who has an understanding of ML