For the average Western citizen it is more privacy invasive to use Western models. If you ask about health issues, Western companies will be happy to leak that just like they sell your geolocations.

For politicians and anyone who can be credibly blackmailed by China: Yes they should not use Chinese models but then they should not use models at all.

For z.ai the political bias by default is Western (if you connect from the West). It will start with pro-US narratives and only change if you heavily prod it and explicitly ask for Chinese media opinions. Yes, it censors Tiananmen but that is just a gimmick. Not sure why the Chinese government does not simply lift that restriction because it is comical at this point.

The currently most aligned and stubborn model is Grok (pro-US, pro-billionaire). The rest can always be persuaded with the appropriate prompts.