By default your devices cannot reach each other through the tunnel — each one can reach the internet, and nothing else of yours. This page is where you say otherwise. You can only link your own devices, and a link is one-way: replies to a connection you allow come back on their own, but the other device does not get access to this one unless you say so.
Nothing is sent until you press Apply, and applying only ever affects your own devices. It rewrites the firewall on the VPN host and takes about half a minute; your devices stay connected the whole time.