For businesses, if they worry about sensitive data on their drives, they usually have a contract with the OEM that allows them to keep failed drives (and still get the replacement) rather than send them back for RMA.  Even so, the major OEMs and drive manufacturers aren't going to do anything with your drive besides fix it, thoroughly wipe it, and send it out to someone as a refurb.  Small-time shops that deal with maybe a couple hundred drives a year might have time to investigate drives and look for goodies, but the big companies deal with tens or hundreds of thousands of failed drives over a year.  The time it would take to recover data from a failed drive, without knowing if there is even anything sensitive on it, much less where on the drive it would be, is pretty much going to make it pointless to bother.  Single drives from Joe Schmo consumer aren't a worthwhile target.  Big Wall Street firm with a dozen failed drives?  Hell yes, that's worth it--but they would already have a contract in place that allowed them to destroy the drive.
Sure, it's possible that an RMA'd drive will have sensitive data stolen from it.  But in terms of that actually happening, you have better odds of winning the lottery.