I'm not sold on the product, but it's important to note that GitHub Copilot was only trained on public repos, which means nothing should be out in the open that wasn't already made public by the authors.[0]

> GitHub Copilot is powered by OpenAI Codex, a new AI system created by OpenAI. It has been trained on a selection of English language and source code from publicly available sources, including code in public repositories on GitHub.

[0] https://copilot.github.com/