Sketchy Wemos D1 mini Pro
It's pure conspiracy, paranoia, or people just generally not having the slightest clue what they have bought. By default the ESP8266 is in Access Point mode, and named ESP_[last 6 chars of MAC address]. It will have an IP address in the range 192.168.4.x. And that is all.

It can't do anything else until you actually program it to do something.

Part of the "problem" is probably that the ESP8266 remembers WiFi settings independently of the sketch that is running on it. It's only the WiFi settings it remembers, though - not what to do with any data that travels over WiFi. That is purely down to whatever sketch you install.

Unless you manually program it so it connects to your WiFi, or add extra hardware for other communications, the device can not, and will never be able to, send any data to anyone, anywhere, ever. Full stop.