Regarding Claude: As I have unticked the "Help improve Claude" checkbox, I was under the impression that Claude did not do this.
https://privacy.claude.com/en/articles/10023555-how-do-you-u...
You can opt out with all three (Codex, Claude, Copilot) except for Gemini
You can opt out with all three (Codex, Claude, Copilot) except for Gemini