Hi Rune-
You can find the legal policies here, but for the most part those refer to the Pro paid version of the plugin. It’s against WordPress Plugin guidelines to track or collect any data about you or your site without your consent, and you’re able to decline any tracking when you install W3 Total Cache without any loss of functionality.
From what you’ve described, I believe you’re thinking of a Content Delivery Network (CDN), which stores copies of your site at locations around the world to improve site speed to visitors geographically distant from your server. W3 Total Cache can be used to integrate your site with a lot of different CDN’s, but unless you actually set that up all of W3’s cache storage remains on your server. Even when you do use a CDN, it would only be storing copies of the front end of your site that are already visible to the public, and not any sensitive information that’s stored in your database.