fediEngine writes to a database in %AppData% on Windows and ~/.local on Mac/Linux. When you log into your account on a fediverse instance, login tokens are stored in this database. This database also contains most, if not all, of the statuses that fediEngine has seen. fediEngine also caches thumbnails that it creates for media, and stores this in the same location. There are two things you should know about these two databases.
The first is that these databases are not encrypted. Somebody with access to your computer can see them. This would also apply to the thumbnails of any image attachments you've seen. If this would be a problem for you, please wait for the encrypted DB feature.
The second is that the structures/schema of these databases will change with almost every release. You should fully expect the local database to be re-created with every alpha release! While this process makes a copy of the old database, you should not get attached to any information in the database. There is absolutely no guarantee you'll be able to read it later.
If you're used to browsing and posting through your instance's web interface, then most of the time you view a status from another instance, your instance fetches it on your behalf. fediEngine prefers to get this information directly from the originating instance. This would necessarily expose your IP address to that instance.
fediEngine also pre-fetches images it thinks you'll need thumbnails for in the near future. This means that a lot of downloads will happen. Alpha builds of fediEngine will hog a lot of bandwidth. You should not use them on metered data plans.
Any fediEngine feature that, for example, uses Tor or a SOCKS proxy for given instances, lists, or globally, is not yet guaranteed to always direct requests correctly. If you need this level of privacy, please consider using fediEngine with a VPN, or inside of a vitual machine that tunnels all web traffic through a proxy.
In the past, when designers of fediverse client software have opted to not put restrictions in their software, they have been harassed, dogpiled, and theatened over this refusal. When these tactics did not work, certain instance admins began attacking users of the client software, by either attempting to block its use directly, or by banning/shaming/threatening users who were caught using it.
If you use an instance where this sort of discrimination is likely to happen to you, please take care when logging in with fediEngine. You should check "disable branding" and pick an alternate User Agent in the Advanced options dropdown.
When fediEngine opens for the first time, you will see only one tab, the unified notifications tab. New tabs are almost always added through the New Tab window. You can add tabs with or without adding an account, but instances that don't expose APIs to the public will require that you select an account, first. "anonymous" is the default account, which means requests are performed unauthenticated.