It's a local model, what security concern would you have ?

I think this is unlikely but a local model could generate malicious code. You would have to run it manually though.

They also have an app that connects to their datacenter with R1.

Also barely anyone can actually run the real R1 locally.

We are speaking about a 2k$ server here.

Local model - no. Using deepseek.com - absolutely. Do not put anything private there.