If privacy is such a concern to you then dont use sensei.
Thats a fact of life for commercial products.
Dont use Azure, dont use O365, dont use AWS, dont use anything where some data has to be stored elsewhere.
After disabling the Cloud Portal, Zenarmor queries web traffic for Threat intel and sends the heartbeat. You can configure both on Configuration - Cloud threat Intel and Configuration - Updates & Health.
Having said that, we'll go ahead and prepare a document which will provide detailed technical information and guidance on this topic. We plan to make it available along with 1.11 Release and will update the thread once it's ready.