We are using Workbench for data manipulation. Right now I'm checking the tool in terms of data privacy but unfortunately there is no reals statement from Workbench. So my question is:
Does Workbench stores data at any time?
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You can audit the source code of Workbench in its GitHub repository.
Workbench isn't an official product of Salesforce:
Workbench is NOT a supported product of or supported by salesforce.com, inc
and doesn't fall under any compliance regimes of the parent company.
With the disclaimer that I am not a Workbench contributor or a PHP expert, a quick look at its source shows that it uses Redis for queueing asynchronous jobs run on the server, which does mean the server may store some data in a transitory way. That would include your session id and org details, and possibly data returned from some types of operation you execute. It does not persist these data to a long-lived database, however.
If you need compliance, you'll likely be in a better position by using a product that runs 100% locally, hosting your own Workbench instance, or purchasing a commercial solution that offers you GDPR compliance.