iTunes can't download pictures from iOS devices to your computer, not even when connected via USB. The sync option allows you to upload pictures from a selected folder from your computer to the device.
On Windows, you can use the system camera import option –some methods on how to enable it if it's not working are described here–, Windows Live Photo Gallery, Photos app on windows 8 and 10, and a long list of apps; all of them require you to plug your device to your computer.
There appear to exist pure wireless alternatives, one called "Wifi Photo Transfer" - link to CNET review; and "Wifi Transfer App" - link to the App Store; look at the "Customers Also Bought" section as there appear to be a lot of apps that do what you want. I haven't tried any of them.
If you'd rather never worry about manually syncing, and don't want to use iCloud Photo Library marvelous service, that even takes care of reducing the space used by your pictures, I suggest you try Dropbox that does what you want –via internet though, and if you either have bad passwords, reuse them, or, god forbid, Dropbox passwords are leaked or stolen and you don't react quickly you may be in trouble. Google has another alternative, closer to iCloud Photo Library in functionality, but you'll have to install Google Drive on your PC and activate the Photos folder inside Drive in order to have a hard copy on your computer. Also, depending on your settings and how many pictures you have, you may have to pay with Google or Dropbox (and iCloud as well).
Lastly, you may enable My Photo Stream, which in my opinion is very complicated but it automatically copies your pictures (via iCloud) to your computer; if iCloud Photo library is off there is no way to view your pictures online thus your fear of your pictures leaking is at least minimized because a third person looking to steal your pictures will have to set up a device with your iCloud credentials in order to retrieve said pictures, and it will alert you of that event on all signed in machines.
You can also add Two-factor or two-step authentication to your device if you are worried about your privacy.