Preventative measures are always best.
Use drive encryption software from the start. That way RMA'ing, or theft no-longer becomes a data security issue.
If the drive is already dead and you RMA it then its a case of trusting the company and its employees not to steal your data. I have not heard of any HD companies steeling data or loosing any returned faulty drives. The company would not last long if they did. I suppose you could contact the company for clarification of what security precautions they take to ensure this does not happen.
Most cases where data is recovered by a 3rd party tends to happen at companies who recondition whole working computers to sell as 2nd hand, cutting corners in wiping the hard drives properly to save time, making it easy for a 3rd party to recover data.