When I add data to the CD, are there any temporary files that get deleted? Can this be a security or privacy issue?
Practically all CD/DVD burning programs will create at least one temporary file depending upon how they're coded, some are more sloppy than others and create logs, or don't remove the temp stuff they create.
Since CCleaner can clean out the main temp folder, it can deal with some of the junk files, however if your CD burning program creates other junk files elsewhere that aren't getting removed you may need to use winapp2.ini or create your own cleaning routine for winapp2.ini.
I wouldn't necessarily call a CD/DVD burning programs creation of temp files a security risk.