Its not a requirement that you use the default Wormole rendezvous or transit server. Its all open source you could run your own private servers if you wanted to (and its easy).

Of course the nice thing about Magic Wormhole is that its security does not depend on server components to be trustworthy. Use the default servers, use your own, use a different third party server, it doesn't matter, your data is still secure.

Edit: If you are worried about privacy magic-wormhole supports transit over tor.