Musk's claims are clearly an expression of grievance and jealousy against the company he co-founded. Musk was even fact-checked on his own platform over his misrepresentations of the Apple announcement. User data is to be stored locally or on a private cloud, and is not being fed to OpenAI, which makes this recent pronouncement nothing but fearmongering to damage a business rival.
OpenAI does not have the same privacy track record as Apple, and that weak link could validate Musk's fears of these devices being compromised. Data is gold to companies that train AI models, and aggregated data, even if it's anonymized, could prove too tempting for OpenAI to resist. There is reason to be concerned about this blockbuster partnership.