They don’t use local models yet, at least not for their existing AI chatbot sidebar feature.
https://support.mozilla.org/en-US/kb/ai-chatbot

When you use a chatbot, you are agreeing to that provider’s privacy policies and terms of use. Each chatbot provider has their own terms of use and privacy policies. View the privacy policies and terms for providers in Firefox.

Some chatbots are more privacy-respecting than others.