On Azure Storage Explorer's Privacy Page you can request and collect all the privacy and GDPR related information that Azure Storage Explorer is providing.
The privacy policy by is a legal document or statement that discloses how Azure Storage Explorer gathers, uses, discloses, and manges their customers' data.
The basis for Microsoft sharing, adding, uploading, hosting, accessing or sending personal data out of Europe. Vendors can also add a description of their own impact assessment for data transfers.