Why is the software you use on your own computer a matter of privacy, while the sites you visit, Web applications you use, and amount of time you spend on them, is not? Before you say "because there is a Web site involved", consider that Microsoft could just as easily have the OS report on what applications you use (or even what emails you write), to better serve you ads, or for any other reason. Your "spyware" comment implies that you would object to this, yet you do not seem to have any objection to companies that deliver applications online doing what amounts to the same thing.

People "volunteer" information about themselves online without intending to or without being aware of what they are revealing (or what Facebook et al will do with it) and what is or is not considered an invasion of privacy is a largely arbitrary social construct. That is why these are real issues, and the answers are not as trivially obvious as you seem to think.