Well, Health data can be uploaded to iCloud (CloudKit), but it's End-to-End encrypted so not really a concern.
Unlike other data in iCloud, if you lose your devices you lose your HealthKit data. This is not true for photos or emails, for example - which you keep if you lose your devices.
Unlike other data in iCloud, if you lose your devices you lose your HealthKit data. This is not true for photos or emails, for example - which you keep if you lose your devices.