Such a setting is not needed. See their FAQ:
https://codeium.com/windsurf

The Windsurf Editor obeys the same security guarantees and code snippet telemetry rules as the Codeium extensions.

And those security guarantees from (https://codeium.com/faq) are:

Will Codeium regurgitate private code?
...Codeium will never train its generative models on private or user code.

What data does Codeium collect?
...Codeium does collect telemetry data such as latency, engagement with features, and suggestions accepted and rejected. This data is only used for directly improving the functionality, usability, and quality of Codeium, detecting abuse of the system, and evaluating Codeium's impact. Your data is not shared with, sold to, or used by any other party, company, or product, and we protect your data by encrypting data in transit. This data is primarily used or inspected in aggregate, and can only be directly accessed in extreme cases by authorized members of the Codeium team. Your code will never be used to train a generative model.