Well, it's funny once you have the slightest insight into how neural networks (or any algorithms... I think they aren't all neural nets?) work, but I suppose the blindingly obvious answer is that most people don't think about those things because they don't have any idea how algorithms work; artificial intelligence is essentially magic to them, much like the working of technology in space opera.

Dunning-Kreuger effect, I guess?

Although even if you were under the impression that Siri or Alexa did it all completely using a supercomputer and that they were each approaching human levels of intelligence, I don't know why they would think that made their data significantly safer from the parent companies. Since they would have programmed these hypothetical genius AIs, their data would still be on their servers... even if you don't suspect them of a desire to use it against you, there's still the possibility you won't like the next way they figure out to use it to sell you things.