Apple Health data is stored in the cloud, why would you think otherwise? They don't store all of it but they do store some.
> They could of course change that, or sneakily exfil it. The first hasn't happened yet
It already happened, Apple Health data was always stored in the cloud.
Because it wasn't the case in the past and I don't use Apple Health or backup to other people's machines, so I don't care enough to stay up to date on the particulars.
Prior to IOS 9 it did not store health data in the "cloud", except as an encrypted blob in a backup.
https://www.macobserver.com/tips/quick-tip/quick-tip-icloud-...
https://support.apple.com/en-us/HT209519
> If you're using iOS 12 or later and have turned on two-factor authentication for your Apple ID, health records are encrypted using end-to-end encryption through iCloud. This means only you can access this information, and only on devices where you’re signed in to iCloud. No one else, not even Apple, can access end-to-end encrypted information.
They could of course change that, or sneakily exfil it. The first hasn't happened yet, and the second would destroy a vast amount of consumer trust well before all the lawsuits started.
So I do rather doubt it.