how do you deal with the fact that they use all of your data for training their own systems and review all conversations

gemini-2.5-pro-preview-03-25 is the paid version which doesn't use your data

https://ai.google.dev/gemini-api/terms#data-use-paid

Personally, I frankly do not care for most things. But for more sensitive things which might land me in trouble, local models are the way to go.