One thing that makes understanding data privacy in custom visuals easier is the designation of a certified custom visual. One of the requirements for certification is ” Does not access external services or resources, including but not limited to, no HTTP/S or WebSocket requests go out of Power BI to any services.”
You can find the list of currently certified custom visuals on this page. Custom visuals are also identified in the marketplace by a blue star with a check mark.
Read on for some good investigative analysis.