There is a huge point - those prompts have answers, followed by more prompts and answers. If you look at an AI answer in hindsight you can often spot if it was a good or bad response from the next messages. So you can derive a preference score, and train your preference model, then do RLHF on the base model. You also get separation (privacy protection) this way.
Yeah and that's a little more concerning than training to me, because it means employees have to read your prompts. But you can think of various ways they could preprocess/summarize them to anonymize them.
For Anthropic at least it's also opt-in not opt-out afaik.