In a pure capitalist model it is okay if Facebook shares all your data with advertisers – if you don’t like Facebook, just vote with your money and go to Google+.
"Sweden's industry is overwhelmingly in private control; unlike some other industrialized Western countries, such as Austria, Italy or Finland, state owned enterprises were always of minor importance."
In fact I think I can make a strong argument that capitalism relies on property rights and therefore the rule of law, which tends to support individual rights in general including privacy.
Especially in the US the balance has been skewed since forever towards capitalism.
Historically, Social Market Economies evolved in countries where the population was supportive of socialist and communist uprisings, but the ruling class tried to keep the economy, and implemented the same benefits as in a socialist system in the existing market economy (See Bismarck’s Social Welfare model in Germany and the history of Bismarck vs. the Social Democrats on this).
The answers to this are twofold: Better national information security support* and regulation; Consumer action to chose vendors that demonstrate that they value personal privacy and prioritise information security.
* Which includes not deliberately, as a matter of policy, undermining security technologies and standards.