I am still amazed that people so easily accepted installing these agents on private machines. We've been securing our systems in all ways possible for decades and then one day just said: oh hello unpredictable, unreliable, Turing-complete software that can exfiltrate and corrupt data in infinite unknown ways -- here's the keys, go wild.
I think the actual data flow here is really hard to grasp for many users: Sandboxing helps with limiting the blast radius of the agent itself, but the agent itself is, from a data privacy perspective, best visualized as living inside the cloud and remote-operating your computer/sandbox, not as an entity that can be "jailed" and as such "prevented from running off with your data".
The inference provider gets the data the instant the agent looks at it to consider its next steps, even if the next step is to do nothing with it because it contains highly sensitive information.