Is there a reason 

clearml

 will use the demo server when there is no 

~/clearml.conf

?

It's the default server for easy getting started journey, e.g. you run some sample code and it works , with zero configuration.
that said you can set an environment flag to disable the default server behavior .
CLEARML_NO_DEFAULT_SERVER=1
ReassuredTiger98
wdyt?

BTW:

it will push potentially proprietary data to the public demo server.

The server if sully erased every 24h, so at least if something did happen it will not last long.
Lastly, to have full control I would recommend blocking the demoserver address on the firewall/dns