What downloader sites learn about you, and what we do not keep
A free tool that costs nothing and shows no ads is still being paid somehow. Usually the payment is your link history.
The link itself is the data
Every URL you paste says something about you, which creators you follow, which subreddits you read, what you were looking at last night. A site that logs pasted links builds a taste profile without needing an account from you.
Attach an advertising cookie to that and it becomes a saleable record. This is the ordinary business model behind most of the free downloaders in the search results.
Stored files are a second problem
Plenty of tools copy the video onto their own servers first, then hand you a link to it. That copy usually sticks around, sometimes at a guessable address, sometimes indexed by search engines.
It also makes the operator a host of other people's content, which is why those sites tend to be one takedown notice from disappearing.
What zero retention means here
The file streams from the source through to your browser and is never written to disk on our side. When the transfer finishes there is nothing left to delete, because nothing was created.
We do not ask for an account, so there is no profile to attach anything to, and no history page that a breach could expose.
How to judge any downloader in ten seconds
Does clicking download open two tabs before it gives you a file? That is an ad arbitrage site.
Does it ask you to install an app or an extension for something a web page can do? That is a permissions grab.
Does the privacy page exist and say plainly what is kept? If there is no page at all, assume everything is kept.