MakeItHome doesn't take any information from you. The web page structure is analyzed locally and no kind of data is sent externally. The information about the user's settings is stored locally and nowhere else.
The application uses screen recording for creating a realistic "boundary break" experience on your Mac and providing running applications previews. No screenshots will be saved anywhere: every frame captured will totally dissolve at the end of the process. No kind of data will be shared with third-party services and saved on your drive.
The screen recording data will be stored temporarily in RAM until it is replaced by a more recent screenshot, and the app preview is taken through the screen recording. The screen recording will be no saved persistently in every case, nor sent through the network.
Simply, with MakeItHome your privacy is not at risk ;)
Just try to break the screen bounds on the lateral sides or bottom with your mouse, and you will discover it!