Besides the (quite true) joke, if sending data to DeepSeek is a concern the good thing is that the models are open weight, you can self host them or use third party providers.
Though, I added Mistral's latest model to the mix in the hope that some European model could be a contender, but it failed completely. I don't know if it hit safety guardrails or is just not competent at security work, but it scored 0/9. No errors, it returned the empty JSON set it was supposed to return if it didn't find anything. But, there were plenty of real bugs to find, and some very small self-hosted models found at least some of them.
I don't think that the country matters, whoever you send data to among these AI labs you are at security risk and data risk.
Unless you meant being concerned about hosted AI in general, not specifically DeepSeek. In which case yeah that's a huge concern to me but I can't reasonably afford a half million dollar appliance to self host a large model at reasonable performance and don't have anywhere to put one even if I could.