When you create QR codes with videos it is uploaded to YouTube. The video is stored on your own Google account and is marked as "Unlisted".
No and yes. No, because anyone that has the link can view it. Yes, because the video id is long and cryptic and it is close to impossible to guess it to find your video. Unlisted videos are never shown in search results or lists of related videos.
No, you can store the video file anywhere and make a QR code of the link. From Cloud QR you can choose to store files on Google Drive or Microsoft OneDrive. However, this has same privacy concerns as YouTube.