This appears in CleanMyMac X in Uninstaller > Suspicious.
Between this and Wipr not working and previously having major issues with 1Blocker... is there any good, trustworthy ad blocking/element zapping extension in Safari?
Don't ignore the warning. Just think it through and if you're OK with potential consequences, then decide what to do. No one will have a decisive answer here because of the war. The war is super serious and you will not learn the truth. AdGuard is a good ad blocker, but I have uninstalled it. Now I'm using pihole and ublock origin (I have switched from Safari to MS Edge).
I think that's a leap. Russia and Belarus have a well established history of this exact thing. RT, Kaspersky, and a few others were all added to national security threat lists for good reason.
This has been chewed over many times in the past 6 months since Setapp (a company based in Ukraine) raised the issue soon after Russia invaded.
The link given by @chikorita157 is relevant - read it and the further articles in its links.
The wording in your screenshot does not say that your data or Adguard's data are kept in Russia.
My understanding of the situation: AdGuard's data is not kept in Russia. They use servers world wide (e.g. Netherlands) - none in Russia. The company is registered in Cyprus (in the EU) - hence your data is subject to GDPR, not to any Russian regulations. The original developers are Russian and some still live in Moscow. The current development team is of many nationalities and includes the original developers. Many of the support team are in Ukraine.
The way this issue was raised is very much related to the war.
Regarding the thread title - No, Adguard is not spyware.
MacPaw (The developer of CleanMyMac X and SetApp) put AdGuard away from SetApp and on the suspicious list of CleanMyMac due to the Russian war against Ukraine. That's because AdGuard Software Ltd. is a Russian company and MacPaw is a company from Kyiv in Ukraine. AdGuard also made a statement about these situation on there website.