Puzzlescript games accesed at urls like ".../PuzzleScript/play.html?XXXXXXXXXXX" are stored on GitHub as gists and fetched from there with their Developer API. Their privacy policy is here.
Why do I need to store things there?
I need to store games somewhere - I think the sharing functionality is really important for puzzlescript, and makes making + sharing games really easy. And GitHub take care of moderation/spam filtering, which otherwise could cause a lot of stress.
If you don't want to use the online-sharing facilities you can still save/load game locally, and can still export standalone html files.
Puzzlescript can save things to your browser's local cache - it's just used for loading/saving files in the file save dropdown.
To create a shareable link to your game on puzzlescript.net, you need to authorize with your github account. Then, when you hit share in future, a publicly-accessible copy of your game is uploaded to a gist in your account.
As PuzzleScript Plus it is hosted via GitHub Pages, visiting the site is also subject to the GitHub privacy policy.
PuzzleScript Plus