Apple has pretty good security whitepapers about how it does end-to-end encryption for Keychain items like this. If you're more broadly concerned about Apple not honoring those, having (un)intentional vulnerabilities, or them having the ability to shut you off from your account, then you can always fall back to non-synced FIDO2 devices, like a Yubikey. The underlying technology in both is the same: WebAuthn. I'd imagine local-only is also how MacOS and iOS behave if you're not logged in to iCloud.

If you're more interested in WebAuthn privacy more generally, there's quite a bit of it in the WebAuthn specification itself, since it was an important goal of the design.