I hope BitGo doesn't generate all three the private keys on their servers because then the security of all this service is very low.
You could always try reading...
BitGo today allows you to create one in your browser, import one (public key only) from a 3rd source of your choosing (offline, your existing wallet, etc), and one is created on the BitGo service. If you use this option, you've used 3 independent sources for key generation which means that your wallet starts out in great shape.