Connection profiles, image urls and last added songs are stored in your roaming profile, all other settings are stored locally. The app do not share, sale or store your position or any other private information.
Your Internet connection is only been used to find and download Album art from albumart.org service or connect to by you specified MPD server.
Album art will be download and saved in the Picture Gallery in folder "Chimney Album Art". Image urls are stored in the roaming profiles and been shared by connection profiles.