The printer will be establishing a connection to the server outbound that is then used to send printjobs to it.
It's as secure as any IoT device. You would hope more so because HP is running it, but....
The risk is that the printer connects to something that isn't HP's server and that connection allows back in more than just printjobs. That should be difficult to impossible if HP have done a good job.
As always it comes down to security vs convenience.
Steve