Right, many people can connect directly, but also many cannot.
And because a large number of people do need TURN (always), coupled with the majority of WebRTC apps not properly supporting TURN (giving no way to set your own details, or provide a free one, of which there really aren't any reliable public ones)... I've basically never seen it work.
No p2p WebRTC app I have ever tried with a friend has worked.
My understanding is that ICE tries to establish a direct p2p connection between clients and only if there is no path, it uses TURN?
In either case, the files definitely don't go through my servers and are not stored anywhere and are e2e encrypted which really matters the most.