It appears that the only available endpoint (as of this writing) requires enabling "Allow paid endpoints that train on request data" in the OpenRouter privacy settings. I hope additional paid providers will become available that don't require training on data.
That is likely because Deepseek themselves is the only host.
In 24-48 hours there will be other options I presume
Their privacy policy doesn't forbid them from just straight up publishing your raw prompts as training data.
My threat model is that anything I POST to DeepSeek I treat as public to the web, as much as a public GitHub repo is.