It's not obvious from interacting with the device that your voice data leaves, or that there's any permanent record made of your commands. That's something you have to know ahead of time.
I think this is obvious however I also understand that most people aren't that clever/interested in these things, and would not realize it. This creates a dilemma of how to message this information in a way that is all at once concise so as to not waste people's time, informative, and not alarmist which freaks people out and is counter productive not only to having a viable product but also to the general adoption of technology.