No, you're not spied on because this application is not used to spy someone else's phone. The software is used to recover data from the connected Android phones. According to the official developer, you can recover recover photos, SMS, Contacts, Videos, Audios, Docs from your Android device.
To make sure you're not spied, install Malwarebytes from official website and scan the whole computer. If there is something bad installed, Malwarebytes will remove it.