If you want to learn more, then you will need to move away from casa. Casa is pretty much just a collection of custom docker images that play well together and with their interface. You could grab an old computer, install Linux, and do more but you would expend more time and effort.
Llama does have some details on GitHub about this. According to them, no, it does not send data anywhere. You can also monitor network traffic to watch for it sending anything it shouldn’t. If you don’t want to do that, firewall it.