But also, no - Just self-host or it's all your fault is never ever a sufficient answer to the problem.
It's exactly the same as when Exxon says "what are you doing to lower your own carbon footprint?" It's shifting the burden unfairly; companies like OpenAI put themselves out there and thus must ALWAYS be held to task.
If you send your neighbour nudes then they have your nudes. You can put in as many contracts as you want, maybe they never digitised it but their friend is over for a drink and walks out of the door with the shoebox of film. Do not pass GO, do not collect.
Conceivably we can try to control things like e.g. is your cellphone microphone on at all times, but once someone else, particularly an arbitrary entity (e.g. not a trusted family member or something) has the data, it is silly to treat it as anything other than gone.
Until then, the choice is being made by the entities funding all of this.