At least on OS X, yes. All of the recording/storage is local, but when you ask any kind of questions involving AI, it sends relevant pieces of history (as text) to OpenAI. This may have changed, but it was the case when they launched the beta.
They say absolutely not, and that everything is processed and stored locally.
*edit* came back to correct this and see that I have already been corrected. If you ask Rewind a question it explicitly says your question and ‘relevant’ web snapshot are sent to ChatGPT 4
I'm a Rewind user and really enjoy the product, but this isn't quite true. Again, maybe this has changed since the beta, but the "Ask Rewind" page has the relevant info[1]:
> No audio, image, or video files ever leave your machine. Ask Rewind only sends relevant text-based data to the cloud, excluding personal sensitive information such as credit card and Social Security numbers.
> When you ask a question, only the text of the most relevant moments from your past are sent to GPT-4 to generate an answer.