The playground uses experimental technology to run C# in your browser. It is a great way to play around with SCL, but has performance and stability implications. Only the Structured Data and File System connectors are available. It is not the same as downloading Sequence.
Once the Blazor WASM runtime and the Sequence components download (~100MB), everything runs in your browser. The browser cache is used for file and settings storage. No data leaves your computer.
Open tabs do not persist when navigating away from this page or when changing between dark and light modes. There is an option to save tabs and saved files persist as long as the browser cache for the Sequence website does.
For more information please have a look at the scl-editor project.