I haven't actually. I took a quick look at it and (could be wrong) it seems they keep the data on their servers?

Data freedom is a biggie for me. I like to have a folder of text files that I can move around, backup as I want and do fun stuff with[0].

[0] e.g. I've been having fun with making a Mastodon toot-queue org file. I just dump ideas on the org file and a cron job toots one every hour until the queue is empty.