Very good questions. I use the Microsoft Band, because it has 10 sensors, so I can see things like my total UV exposure during the day. However, it is uploaded to Microsoft's servers, and although the data is encrypted and protected, there is always a chance they might be able to view it. For a completely private data collection, I'd recommend using an app like Sleep Cycle and manually exporting the data for review (if on Android, you can probably set up an automatic export).
I access my data through Microsoft's API, and this allows PAL (who is a cloud based program I built) to always be in sync and instantly alert me as soon as I complete a sleep or take a step. It is very useful, but does come at the price of anonymity.
Hope I could help!