If you have history enabled, and have some chats. They show up in the sidebar history as expected.
You disable history, they all disappear, as expected, giving the impression they are deleted.
If you re-enable history, you will be able to see you history from chats that are old(at least 3 weeks old in my case).
This is important because they explicitly mention your chats can be read by humans for training if history is enabled. So it might give you the impression you opted out, when in fact your chats are still saved.
This is on iPhone app, but I suspect it’s on all devices since the settings are changed through safari page, not app itself.