We cannot explain this without more information. What you describe should not be happening, and is most likely a bug in whatever reporting software you are using.
Do you know what software is reporting that information is being sent over the internet?
Can you please provide us with a screenshot of the error message?
At any rate - I'm virtually certain - in the circumstance you've described - no information is being sent over the Internet.
You can use a utility like Wireshark (only if you are a sophisticated network user) to spy on exactly what is being sent over the Internet. HealthFrame v2 (what you are using) does not send any data over the Internet in response to a save operation.