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Yeah, I used to hate the Claude desktop app's Code tab, but it's actually pretty good nowadays. I actually prefer it now over claude CLI.
I use Claude Code Web almost exclusively for personal projects -- I’m guessing that’s pretty much the same interface but in the cloud -- and hardly ever run anything locally. Nicer UI than a terminal, real sandboxing, and it doesn’t tie up my computer. It’s just a remote agent that can make GitHub PRs.
But even worse for private stuff than using cloud inference to begin with, since it presumably has to clone the repo, have write & Actions access back, etc.
It's bad if you're concerned about your data being used for training, sure. But I don't think any worse than e.g. running Claude or Codex locally.

I think the only solution there is self-hosted inference (either local, or on your own cloud servers with open weights).