MS (and Sony) do provide you with a service: their game consoles. And wolf in sheep's clothing? Google and Facebook aren't exactly the picture of transparency. Sure, they have a EULA that states everything clear as day, if you understand legal jargon AND take the time to read a 1000 word document: which nobody does.
Also, if you truly believe MS is capturing video information, relaying to (secretively, as monitoring your data shows no increase in bandwidth usage with the Kinect) HQ, and then analyzing it, I'd love to see how that infrastructure is set up and maintained.
AND, if you're so concerned with corporations using data collected about you for targeted ads or the government "spying" on you, I'd leave the country and stop going out side.
I think in the past, the info was minimal. In the future, you can expect it to be much more because they've figured out it works and makes them money. The infrastructure is already or in process of being built. And you SHOULD be concerned, the fact you are not shows just how under a rock and short sighted you are, either that or you are with one of the companies that profits off of peoples info.
It isn't a what if any more, it's a they are doing it/or will be soon. The question is what can you do to protect your own interests. I know it sounds tin foil hattish at times, but this isn't the 50's and the government and corporations are looking out for themselves, not you.
You can surely say that the kinect for instance is only going to be monitoring your usage and that is it, and maybe that will be all it is. Once there are cameras on every street corner monitoring everyone (which is already becoming a reality) who's to say they won't do the same with your home and what better way than with an item that millions already have (and those people are PAYING for the use!!). It's really not that big of a leap to think this could happen since they can do it without your knowledge. It's really only a matter of time and some lawmaker will figure out a loophole or need for it.
Then it goes to the usual standby of "well if you're not doing any wrong" which is just complete garbage. At what point does that change to "well we think you might do something" etc. Freedoms slip little by little, not all at once.
While, the whole Skype revelation came as a bit of a shock, I don't really think MS would have been collecting anything via Kinect except your usage. However the new connect being so much more advanced is scary. The potential for abuse is there, and then to find out that they are in bed with the NSA on top of it.....just well. Trust them about as far as you can throw them.