But it's really not clear to me why this should be read as a snarky, critical, rhetorical question. Someone who eagerly wants to use Grok Build would ask this exact same question.
"Does this [Grok Build] also just directly suck all your code up and make a copy of it on their servers?" is a question that is (1) salient and (2) answerable and (3) could be thoroughly devastating for someone to find out on their own by using it.
The answer is not present in the README, and XAi has blocked Issues and Discussions, so there's none of the usual avenues on GitHub to ask these questions. It seems perfectly typical and expected for someone to ask this question here.