Yes, I feel the same as @rok-balboa. When a visitor fills in a form using CF7 and submits it, that visitors information is going to be retained in the inbox of whatever email address has been configured in “To” field in CF7. Obviously the wordpress plugin is not going to be able to know about this stored information.
Also, the other issue is that when the visitor consents to use the form, a record is created in the gdpr_consent table which includes the visitors email address and their IP address.
So when the visitor is told that none of their personal information is stored on X it is misleading.
Thanks for your help!