They work pretty well with Gadgetbridge. I was previously rocking the Amazfit Bip which paired without any issue or external tool. I have since switched to the Amazfit Band 5 which unfortunately requires a special key to pair. The website gives you a good guide on how to do so, but it helps if you have some Python knowledge. The utility they point you to to get the paring key is a python script.
If you don’t feel comfortable with that, I recommend using one of the devices without the [!] on their supported device list. The only devices in the Amazfit line which don’t require the pairing key is the Bip, Cor, and Cor 2 as of writing this.
In terms of privacy and security, Gadgetbridge allows you to use and get data from these devices without having them connect to the internet. All the data stay on the phone with the exception of any of the integrations you add. For example, they can get data from certain weather apps and send that data to the watch if you want that feature.