Curious as to why you use it on the Mac? I’m assuming it still can transmit data that is personal. Is it because you don’t have to create an account?
TLDR: just 'cause.
Spent $$ ages ago for it. When they went subscription, something got messed up on iOS side of things and was "upgraded" to the new subscription version and could not get back features that I was supposedly entitled to as being grandfathered in, so went with different app there (Calendar 366).
Did not want to pay for some other calendaring app, not a fan of (now free) Outlook, so kept the Mac version of Fantastical.
Most of my use of calendar is on iOS, particularly phone since that's with me all the time, so not using Mac side of things a lot.
Nothing in my calendar is particularly sensitive (no codes, generally no locations, doctor's appointments generally are just last name for them and no notes why, "Gym", "Breakfast with family", etc) so if by some chance it's getting Hoovered, meh. Just having a smart phone, email, messaging, cloud stuff, credit cards, bank accounts, etc leaves a big enough trail to follow, not going to stress my calendar.