You can trivially find it in the Settings app after setup, too: Privacy & Security -> Analytics & Improvements -> scroll to the Improve Siri & Dictation toggle that explains that it controls whether Apple can store and review audio of interactions with Siri and the dictation function. Plenty of other options to review in the vicinity too, since the first party privacy settings are basically all in the same place.

That is the option for the audio itself. The transcripts of the audio (you do know what transcripts are, right?) are always sent to apple as per their privacy policy.

"When you use Siri, your device will indicate in Siri Settings if the things you say are processed on your device and not sent to Siri servers. Otherwise, your voice inputs are sent to and processed on Siri servers. In all cases, transcripts of your interactions will be sent to Apple to process your requests."

It's pretty clear and not in dispute that your transcripts are always sent to Apple.