How far do you go with that? Have you examined your CPU with an electron microscope? What about the motherboard? Every peripheral? Where does it end? At some point you have to trust someone.
If you don't wear a smartwatch while out and about, how is your desktop CPU at home going to upload your heard rate or location to the cloud?
Hopefully farther than nowhere. It seems like you're ignoring the dangers of proprietary software here entirely.
Apple has a good history in respecting privacy. For example, if Facebook made a watch and claimed no data is sent from your watch to their servers, I would not believe in it. When Apple claims the same, I do believe it.