How to save the data of non-registered users?

There’s nothing to identify such users so there’s no way to log their actions.

If a non-registered user leaves comments including his name and his mail, and accepting the privacy policy, can he not later request its deletion, rectification, etc.?

He can, but since he’s not a user, there’s currently no automated way of doing so. This is on our roadmap to be included on a future release.

Good remark Eduard.

I join the comment of @eduardoff
We will wait for that improvement anxious
Thanks for the great job you do

Thank you @fclaussen, it will be a great improvement in the future