I suspect you are asking about data privacy and security in the Azure Maps Power BI visual. This is documented here.
Azure Maps is an enterprise map platform that runs in Azure and aligns with all the same privacy and data security requirements of other Azure services (GDPR, PII, HIPAA...).
In the context of the Azure Maps Power BI visual, what data is sent to the Azure Maps services depends how you use the visual. If you pass data into the Latitude and Longitude fields into the map, the map doesn't send any of that data to the Azure Maps services as rendering of your data can be done within the browser. If you pass in string values into the Location field however, that data needs to be geocoded (converted to latitude/longitude coordinates) and would be sent to the Azure Maps services, but only that data (only the columns you place in the Location field), not any other data in your data set.