If they are confidential they probably shouldn’t be uploaded to any website no matter if it calls out to OpenAI or does all the processing on their own servers.

It’s simple really, lots of businesses share data with 3rd parties to enable various services. OpenAI provides a service contract claiming they do not mine/reshare/etc the data shared via their API. As the SaaS provider, you just need to call it out your user service agreement.

most people don't care even when its required by their industry, and privacy isn’t a selling point on its own

Ifnyoure a big company dealing with Microsoft , you're not just going to "pay as you go". You'll have a sales rep, dedicated support, custom contracts and special prices. In the contract, Microsoft just needs to promise they won't share your data ever: if they do, the company can sue.

Microsoft is a behemoth at dealing with enterprises and has been doing it for decades. Even old school enterprises are OK with uploading data to Azure.