If you're a spy and you think spycatchers know your address, there's a risk of them bugging your home and overhearing the numbers station, or breaking in and finding your one-time pads. So you should probably act with the utmost caution regardless of the details of radio receiver design.
Some radio receivers have existed that leak signal at the intermediate frequency, due to inadequate shielding. But it's not just a privacy problem, it also means that receivers operated near to one another can interfere with one another due to crosstalk at the intermediate frequency; it would be inconvenient if your car radio lost signal any time you were stuck in traffic and other drivers were using their radios. So usually designers add more shielding.
It's difficult to know the truth because there are some organisations that benefit from exaggerating the possibilities of things like this - for example, a cable company might hope to deter cable pirates by claiming they have roving detectors that can detect people pirating cable.
Some radio receivers have existed that leak signal at the intermediate frequency, due to inadequate shielding. But it's not just a privacy problem, it also means that receivers operated near to one another can interfere with one another due to crosstalk at the intermediate frequency; it would be inconvenient if your car radio lost signal any time you were stuck in traffic and other drivers were using their radios. So usually designers add more shielding.
It's difficult to know the truth because there are some organisations that benefit from exaggerating the possibilities of things like this - for example, a cable company might hope to deter cable pirates by claiming they have roving detectors that can detect people pirating cable.