I've always felt nervous entering my info, to do a look up. It's yet another data trail to elevate certain set of stolen data above the noise of unused/throw away/dead accounts.
Pwned Passwords uses a k-anonymity scheme so that your password is never actually sent to the server [0]. You can just call the API directly [1] so that you don’t have to trust haveibeenpwned.com’s JavaScript with your password.