Your contacts, templates and statistics stay at Mailpro, in its data center in Switzerland. The assistant only has the rights you accepted.
But what the assistant reads to answer you is also passed to the AI you chose, at its publisher, under that publisher's terms. Choose it knowingly, and only ask for what you need.
So that nothing leaves your premises, a self-hosted AI (an open model installed in your company) connects to Mailpro the same way.