That's why he said "Set up a separate DB with one big table" ;)

I think it can actually work quite well, provided you can setup a separate service just for analytics. It's not too unreasonable to assume there are sites already doing this since the concept of a central repository that you alone control (and isn't provided by a third party) can be appealing.

Also, you have to worry less about privacy and just concentrate on keeping your own systems and services secure.