I am considering setting up find my device as I recently bought a new Pixel 9 and don't want to risk throwing away all my money if it gets lost or stolen.

What should I take into consideration when doing this? Will it be always able to phone home. Does sandbox mitigate any privacy concerns, or would that be irrelevant given the find my device feature.

Any input is appreciated

So, the default server is hosted by the maintainer. If you trust him, everything is ok and you're fine. If you don't, you have to set up your own server, which is not very complicated for someone comfortable with computers but might be out of reach if you are not. In the latter case, I would recommend that you don't set it up and suppose that the maintainer 1- doesn't use the information about your position, 2- doesn't sell it to third parties. You should read their privacy notice.