The online retailer has received much scrutiny over the years when it comes to the privacy implications of its smart speakers and displays. That means these audio clips won't be sent to the cloud and they'll be automatically deleted after the Alexa device processes them. Soon, US customers can choose to have all of their voice commands processed on their Alexa devices. The most interesting, by far, are the new privacy features coming to the latest Alexa devices. Amazon announced a slew of new connected devices today, and with those came some new Alexa features that users will be able to take advantage of.