It actually only sends your DNS traffic, which turns a pretty url (like https://www.adfree.life) into an ugly IP (like 70.42.251.42) and then returns to your computer to make the actual call with all of the important stuff. It is not to be confused with a VPN, where your traffic could actually be logged. You can read more about it here http://computer.howstuffworks.com/dns.htm
Without trying to be insulting, I think everyone is getting a little too greedy lately with the information they want sent into their "cloud".
I don't say that as a product criticism, I see why you can't do it another way and plenty of people won't mind. But if you're curious, that takes me out of the pool for this service. Shipping trusted hardware that could go behind a router is about all I'd be open to.
Also, to anyone who has used PiHole - what do you do when a news site bugs you about using an ad blocker? What's the equivalent of "open up your other browser to access the page"?
Side note: why are people flagging this? Seems like a normal "Show HN"-type of post to me, but I'm not always savvy to the etiquette here.