It offers very good functionality, however almost no configuration options. The plugin runs by default on all pages resulting in huge performance impact, severely increased memory use for Firefox and indeed privacy concerns.
Have you just started to type something sensitive on a page without remembering to disable Grammarly first? Bad luck, your data is already on their servers.
Setting the plugin to be disabled by default and only enabled on demand would be absolutely necessary. The way it is now, is shady and too pushy.
I can see how they want it to run everywhere, but still, this is a big no-no, to by default automatically send all my typing to a remote server.
Also the resource usage is really bad. If you use few tabs and restart browser every offten, probably it's fine, but I usually have several tens of tabs in variety of windows and Firefox running in one go for a week. Now, if you are such a user, disable this, and you'll be amazed how much better the overall responsiveness of Firefox will become.
Long story short: it offers nice feature, but the cost cannot be justified.
I'd just go to https://app.grammarly.com/ if I need writing assistance, and keep away from this plugin for good.