Use OpenAI Python client library 1.x URL
Model that you are using will be hosted on Azure. So the traffic will go to Azure. Azure has stated in the privacy policy that they won't store question as well as answers for further training. One important reason why companies use Azure OpenAI is because of their privacy policy. OpenAI syphoning off information just because their library is used will be serious breach of contract and directly mock the privacy policy that Azure has come up with