Geode has no servers, no accounts and no analytics. There is nowhere for your data to go.
Geode reads two things from Apple Health: your active energy burned and, when nothing has recorded active energy, usually because there is no Apple Watch, your step count as a stand-in. It uses that number to work out how many strikes you have earned and how deep the mine should be.
You can revoke Health access at any time in Settings, then Privacy and Security, then Health, then Geode.
While Geode is in beta, Apple's TestFlight collects crash logs and any feedback you choose to send. That is Apple's service and is covered by Apple's own privacy policy.