How does local drive sharing in Remote Desktop work?

I was wondering how the local drive mapping in Remote Desktop works. I use it because it's very convenient, but I'm concerned about the privacy of it, i.e. that other people might see this drive as well.

I need to be absolutely sure before I'm going to continue using a mapped drive.

Safe to use if you're doing it through the RDP app where you go and share local resources and manually select the HDD you wish to share. However if you're mapping it manually, there may be issues - but generally if you are password protected and not openly sharing that file you shouldn't have a problem.