The odds of a cloud server leaking my information is non-zero, but it’s very small. A government entity could theoretically get to it, but they would be bored to tears because I have nothing of interest to them. So practically speaking, the threat surface of cloud hosting is an acceptable tradeoff for the speed and ease of use.
Running things at home is fun, but the hosted solutions are so much faster when you actually want to get work done. If you’re doing some secret sensitive work or have contract obligations then I could understand running it locally. For most people, trying to secure your LLM interactions from the government isn’t a priority because the government isn’t even interested.
Legally, the government could come and take your home server too. People like to have fantasies about destroying the server during a raid or encrypting things, but practically speaking they’ll get to it or lock you up if they want it.