That OpenAI setting helps, but there is a better way to do it. To completely opt-out of training, submit a request via the OpenAI privacy portal.

Visit this website https://privacy.openai.com/policies/en/ , click "Make a Privacy Request", choose "Do not train on my content", and complete the form. That submits a formal objection to training on your data, as required by GDPR/your local legislation.