Such questions are asked to know your views about the colleague in question and how well you use interpersonal skills. Showing a strong reaction is not desired from the strategic leader. Maybe a more careful approach and walking the colleague out of it sounds more sensible. You can try to convince the coworker that such actions might impact them professionally and personally. This should be done more sensitively as the colleague might see you as a threat to discovering the leak. But if you keep calm and are suggestive, then convincing is easy. If you don’t see any change in their actions and they continue sharing organizational information outside, you can report it to the relevant department. You can't jeopardize your position by keeping quiet when knowing about the confidential information being shared against work ethics.