It's certainly easier than setting up and maintaining a VPS and probably less expensive for most users, but your data is not private. Cloudflare can always read everything that goes through Moltworker and its attached storage.
Hosting Moltbot on your own hardware reigns supreme.
I think if you care about privacy and security, you wouldn't run moltbot in the first place (or wouldn't give it access to anything you wanted to keep private).