Should I chase up confidential feedback not being "sanitised"
At most institutions in the United States, instructors are given their course evaluations in toto, only stripped of names. It's up to students to not write anything which would lead to deductive disclosure. But there's plausible deniability, so you could have feigned ignorance when she approached you (which was an entirely unprofessional thing to do).

If you are worried about retribution then speak to your chair or at the very least send an email note so that you have a paper record of your concerns.