It's MSCHF. It's a well known art collective. It probably works *just* like any other tax return prep software and stores your data locally. Don't spread misinformation and call it a "random game". It's made by a very well known group.
If you read the original comment again, you'll see my concern isn't with the game itself or where the information is stored, but that it's being stored at all. I wouldn't be at all surprised if a malware incorporates a few lines of code that check the save file of this game for the player's SSN considering that it had a bunch of news articles just published on it. Also, as a side note, how is calling a game "a random game" slander? It's a game I stumbled across randomly, is that not a correct way to refer to it?
As much as I like the game, and I'm sure the game is harmless, I hate this idea that as long as the people making it are "well known", that also means that they are trustworthy. Microsoft and Google are also well known and they are KNOWN for selling their user's data. As "anti-capitalist" as the message of this game and other MSCHF projects are, I wouldn't put it past them to not do something scummy now or later down the line.
Just because they are well known doesn't mean they are trustworthy.