Same goes for doctors, therapists, lawyers, etc. then. They all ultimately have the responsibility to involve authorities if someone is expressing evidence of imminent harm to himself or others.
Yep, I'll be using something like gpt4all and running things locally just so I don't get caught up in something by some online AI calling the authorities on me. I don't plan to talk about anything anyone would be concerned about, but I don't trust these things to get nuance.
Local models and open source tooling are the only means of privacy.