Vendors should really be encouraging this and providing tooling to facilitate it. There should be flashing red warnings in any agentic IDE/CLI whenever the user wants to use YOLO mode without a remote agent runner configured, and they should ideally even automate the process of installing and setting up the agent runner VM to connect to.
It's also not literally called "YOLO mode" universally. Cursor renamed it to "Auto-Run" a while back, although it does at least run in some sort of sandbox by default (no idea how it works offhand or whether it adds any meaningful security in practice).
Either way, if the alternative is the code not getting written at all, or having to make other significant compromises, the very edge case risk of AI randomly exfiltrating your code can be an acceptable trade in many cases. Arguably it's a lower risk than it would be with an arbitrarily chosen overseas developer/agency.
But again, I would very much like to see the tools providing this themselves, because the average user probably isn't going to do it on their own.