In many circumstances yes.

When I'm talking to my doctor, or lawyer, or bank. When there's a signed NDA. And so on. There are circumstances where the other person can be (and is) obliged to maintain privacy.

One of those is interacting with an AI system where the terms of service guarantee privacy.

Yes, but there are also times when other factors are more important than privacy. If you tell your doctor you're going to go home and kill your wife, they are ethically bound to report you to the police, despite your right of doctor patient confidentiality. Which is similar to what openai says here about "imminent harm"