To “link” other devices you have to scan a qr from your phone, so it’s certainly possible that during that process the devices connect and share the key, and the servers don’t have it.
Or the servers could have it. Idk, it’s closed source, that’s the problem at hand.
You can never truly know about almost any online service, you kinda just have to take their word for it, do some research, and pick the option that best matches both the performance and philosophy you’re looking for.