I believe you are falling into the nirvana fallacy: No shades of grey, if it’s not perfect it’s as bad as the rest.
This is a very inefficient way of thinking as it is not possible to self host everything for most people, it just demands too much time.
Hence its is a perfectly valid approach in my opinion to looks at better (or, very often, “less worse”) SaaS solution.
If they states ZDR on a model, the likeliness of it leaking less data to some LLM data training is higher simply. If the business model of a company is built around a differentiator which is data privacy, that also significantly increases probability that data is not being leaked/sold.
It’s all grey, relative and about probabilities. Nothing’s perfect – another captain obvious thing.
I can host a LLM in my basement and guarantee it, but would you trust me? Now you can say that you don't trust any company, but B2B relies on counterparty risk.