Is this a substitute for therapy?

No. Companion apps are not clinical tools, are not delivered by licensed practitioners, and are not built to recognise or respond safely to crisis. Several have handled disclosures of self-harm badly. If you are struggling, a crisis line or a professional is the right destination — and if a companion app is the only thing you talk to, that is itself worth raising with someone.

How private are these conversations?

Considerably less than they feel. Conversations are typically stored on the vendor's servers, may be reviewed by humans for safety or quality, and may be used for training depending on the terms. Independent reviews of this category have repeatedly found weak privacy practices. Assume anything you type could be read by someone, and check whether deletion actually removes it.

Can the character change or disappear?

Yes, and people find it genuinely distressing when it happens. Vendors update models, alter personalities, restrict content and shut down products, and a companion you have talked to for a year can change overnight with no recourse. The relationship exists entirely on someone else's infrastructure and subject to their business decisions.