On-device models are a type of machine learning algorithm that operates entirely on your device. Your drawings stay on your device and are analyzed there rather than being sent to a server, which protects the privacy of your content. Your files are not used in the training of any machine learning models.
Concepts uses these models for processing complex data like handwriting or object recognition to enable features like deep search and auto-tagging. You can disable these features in the Gallery Settings to reduce power consumption, but as with any programming, functionality will be reduced as well.