CafeTran is a desktop application and connects to online services only if you wish it so. After unchecking the box for MyMemory Machine Translation online service in Preferences, no segment will be sent anywhere. You can can also disable it temporarily for chosen segments via the right-click at MyMemory pane and choosing "Stop automatic MT service".
Please see MyMemory tool terms of service: https://mymemory.translated.net/doc/en/tos.php. You can always switch it off in CafeTran options (menu Edit > Options > MT services tab) if you translate sensitive contents.
I'm new to CafeTran, but I like it already. Please, tell me if it's safe to use My Memory MT-tool in terms of confidentiality?