It has one of the best privacy policies I’ve ever read.

“ Everything Lockdown Firewall does stays on your phone, so no data is transmitted to any of our servers. This can be confirmed by checking the source code, which is 100% open and public for anyone to examine. Lockdown Firewall doesn't use any type of third party analytics, trackers, or APIs, so there's no risk of your data leaking to third parties. This means there's no Google Analytics, no Facebook Pixel, no Mixpanel, Fabric, Mailchimp, etc — nada.

Information We Collect

Lockdown Firewall collects nothing. It all stays on your device.”

It runs on device and it's fairly easy to analyze the traffic, you are not giving a third party all your access. You could proxy all the traffic through a Mac running LittleSnitch, read their code, inspect the VPN profile it installs on the device, etc. It will only have access to your internet traffic if you opt-in in the actual VPN tunnel service they sell, which is optional.