They do say this though "We also plan to support local and on-premises models. For local models, the supported feature set will most likely be limited."

This is currently a no go at my place (I asked) but the ai and security folks were interested in that as it would allow on-prem/private cloud usage as well as the possibility of using targeted models instead of a generic one.

For example, in the comments on their announcement they confirm they are looking at Azure AI support.