There are no valid concerns about that. You could send your vault in a birthday cake to Vladimir Putin and it would be of no use to him. So it's immaterial where it's physically stored.Yes - but they are providing web access to the vaults and I understand that there could be valid concerns around that.
Similarly, I could mail a flash drive with a Time Machine backup for my laptop. If it goes missing in the post, there are zero concerns about my data being compromised because the backup is useless without my key.