Sometimes it's in the same city, othertimes in another continent. Mail is sent to the maildrop and is then placed unopened into another envelope and mailed to its final destination. As long as your intentions are legal there is never any problems with authorities. A good, reliable service does not condone fraudulent business activity. You can still use your regular address to receive most of your mail but your confidential mailgoes to the mail forwarding service and then to you.
Financial privacy is almost a thing of the past nowadays.
With computers, it's eroding rapidly, much quicker than in the past. It seems that whenever you make a simple purchase, they ask for your name and address. Then about a month later you start receiving weekly catalogs, sales literature, promotions, etc. Try giving them a name other than your own with your address. Many companies sell our names to others and sooner or later you are getting bombarded with Investment Schemes, Get Rich Quick Letters, Chain Letters, Miracle Health Cures, and other distracting material.