You can trivially find it in the Settings app after setup, too: Privacy & Security -> Analytics & Improvements -> scroll to the Improve Siri & Dictation toggle

You can trivially find it in the Settings app after setup, too: Privacy & Security -> Analytics & Improvements -> scroll to the Improve Siri & Dictation toggle that explains that it controls whether Apple can store and review audio of interactions with Siri and the dictation function. Plenty of other options to review in the vicinity too, since the first party privacy settings are basically all in the same place.