In this context I think it's important to note the distinction between "Copilot for Individuals" and "Copilot for Business", because for twice the money you potentially get a lot more privacy:
> What data does Copilot for Individuals collect?
> [...] Depending on your preferred telemetry settings, GitHub Copilot may also collect and retain the following, collectively referred to as “code snippets”: source code that you are editing, related files and other files open in the same IDE or editor, URLs of repositories and files path.
> What data does Copilot for Business collect?
> [...] GitHub Copilot transmits snippets of your code from your IDE to GitHub to provide Suggestions to you. Code snippets data is only transmitted in real-time to return Suggestions, and is discarded once a Suggestion is returned. Copilot for Business does not retain any Code Snippets Data.