...I suddenly realized it's Saitek, not TM, so...
On topic, as said previously, data gathered from all the devices must be enormous, so it's not like someone's manually browsing through my keystrokes, browser history etc (if such precise and personal-identifiable data is gathered at all). And it's not only Windows, and not only Internet. Every time you provide your name, phone number, your address, it's stored somewhere. Even your local store may have a large base of addresses with names and other personal data, for the purpose of loyalty programs or sending flyers.
If such gathering of data even remotely and occasionally helps to stop bad people from doing bad things, then I guess there's some good use for that.