I don't think it's particularly "tin-foil hat" stuff to have privacy concerns with stuff like this. Thanks to Edward Snowden we know the US and UK governments have and use software that shows them almost everything a person does online, every website they ever visit, read their emails, facebook messages, etc.
Example regarding the xkeyscore program which the US, UK and most Western European goverments use:
An analyst has to enter only an individual e-mail address – along with a “justification” inserted into another field on the screen – to get a trove of personal e-mail sorted by time period, say analysts who reviewed the slides for the Monitor.
The program can also apparently determine which computers visited a website and when, as well as searching chats, usernames, buddy lists, and cookies. One slide in an XKeyscore document features corporate logos of a number of familiar online social media companies, saying the program lets analysts see “nearly everything a typical user does on the Internet.”
Another slide illustrates how an analyst can use the program to search “within bodies of e-mail, WebPages and documents.” Analysts using XKeyscore can also use a NSA tool called DNI Presenter "to read the content of Facebook chats or private messages”
Of course then you get into the civil liberties debate and the whole "why would the authorities care about me asking Alexa to fart, I'm not a criminal so they won't be tracking me anyway" etc. That's all personal choice and it's a debate that's been had a million times. But to act like someone would have to be crazy to see it as a privacy risk is just naive.