Chip and pin machines do not store or send you pin anywhere. They do however store card numbers etc. on the receipt rolls iirc, which is often enough to do some 'customer not present' card shopping online or over the phone should those details be misused by a staff member. No different from 'sales made online', so your worry is either misplaced, or you should be worrying about the other purchases too
One quite common, but very confident fraud is for engineers to arrive at a shop\petrol station and replace the chip & pin machines with a doctored one which can record not only details, but pin numbers. IIRC every Shell petrol on the M1 had their machines changed in this way about a decade ago.
..as happened in my local Sommerfield a couple of years ago. The card machines on the check-outs had been doctored to store both card details and pin (but not by Sommerfields - I hasten to add). The first I knew about it was when my bank 'phoned me up at work, and asked if I was in Canada (I was in London), trying to withdraw $1000? My friend, who had a different bank, had her account cleared out.
