It uses the ATT cellular network, essentially it's a phone minus the speaker and Mic. Or more accurately it's similar to the stand alone Wi-Fi hotspots that the carriers sell at the stores. It would require its own data plan, so you're paying for a data plan that you'll only use while in the car.
The fact that it plugs into your OBD2 port is mostly (we hope only), to have access to the 12V power source. In reality though it then has access to everything that the On Board Diagnostics (OBD) module has access to, including as mentioned things such as mileage, speed, rate of acceleration, rate of breaking, the engine diagnostics, and God knows what else. It may even have access to the GPS and could monitor and track your every move, sending it to who knows who.
Don the tinfoil hats before using.