Just like all other GNU/Linux distributions it comes with absolutely no warranties as to whether it will work or not and you use at your own risk. You can freely distribute copies of the Core version to anyone, and you can install to as many machines as is under your control.
As for privacy, checkout the unofficial manual:
viewtopic.php?f=3&t=9512You may want to turn all privacy settings to what you want to share - Menu | System Tools | System Settings - Privacy.
You may also want to disable 'zeitgeist' - Wolfman posted on how to remove this.
As for sensitive data, you could always encrypt your '/home' folder AFTER installation, but beware that you stand the risk, just as in Windows, if the system should ever fail, your encrypted data is gone forever!
If you are worried, use an external hard drive - but don't be reliant on USB memory sticks/flash drives as they have a read /write life expectancy just like Solid State Drives.
Hope this helps!