Technically that wasn’t a bud.
Top quality ear pieces such as the one pictured are called IEM (In Ear Monitors) and are moulded to fit the users ear canal, fit snuggly, and can be toned to match the skin of the user, and very little outside noise can penetrate. Thus it is not some ear bud from some budget big box store.
Musicians use them extensively.
You are correct. My band uses them (they are great, by the way!) and they are easy to conceal in your ear. Someone could have easily fed information to Her Heinous.