No you didn't. The whole point of using Azure OpenAI over plain OpenAI is the fact that your data doesn't get donated to OpenAI for training (this solves "compliance" for enterprise customers that need it), which you're not solving (because you obviously can't run the OpenAI models in your own data center).
According to OpenAI, they don't use data sent to the API for training and delete it after 30 days. So your concern is misplaced unless you think OpenAI is outright lying about their policies.
https://techcrunch.com/2023/03/01/addressing-criticism-opena...
They said only if they opt in not that they wouldn’t do it.
And they used to and could change those terms again after the market matures and developers have deeply integrated application investments.
Plenty of companies have followed this strategy in the past.
Let’s not oversimplify the situation as it was a recent change as well…