Apple's description of what is actually granted by this box is not entirely accurate. All this box is letting clips do is communicate and share information between the keyboard process and the main application (I.e., the Icon you see on your home screen.) The keyboard process itself is severely constrained when it comes to Storage, memory usage, etc. while this does technically mean Clips could communicate your clips over the Internet if it wanted, it doesn't necessarily mean it's doing that at all. It could just be storing them all locally so it can share them between applications. In other words, exactly what it's intended to do.
It's a silly thing to get upset about. Do you use any third-party apps at all? Any application you use has the ability to intercept what you're typing and transmit it over the Internet if it wants to. So, every time you use any application not made by Apple you're trusting that developer to keep anything you type safe. Keyboards are no different in this regard.