That's not the case. The CLI doesn't retain data under ZDR (including headless/non-headless modes), and has since launch. Similarly, /privacy in the CLI will disable or reenable any data retention. For some features, including remote session listing, cloud agents, and handoff, you will need to enable data syncing.
One year ago today, I took delivery of my Launch Series Model Y at Giga Texas.
Best car I've ever owned. It can drive itself anywhere I need to go, is constantly improving, I never need to do any oil changes (I always hated those), and costs me just $18 to fully charge.