Why? Because that's Cortana's job. To "learn about you all the time". Part of this learning is knowing what you do, where you do, how you spend you time. I totally appreciate listening to those two videos, I watched them, trust me! I was surprised that Geoengineering was discussed on a smartphone website, I am impressed. But, the word you want to look into and learn about and know about is - machine learning. Machine learning to be honest has been around for over a decade. We've done that manually in 1990s and in 2000s we as a human race have become smarter and we have very intelligent programmers at our disposal who have thrown exceptional algorithms in the mix. One machine learning example, I would like to use here is what I've seen with my eyes just a week ago. In a local hospital, a friend showed me this nifty tool that learns about the patient hooked into that machine. Of course there are pretty nurses taking notes and keeping it ready for the doctors to walk in and read to see how the patient is doing. But what this clever algorithm designed by a human, does is, it keeps track of all the vitals of that patient and also keeps track of what is being given to the patient, in dosage - mg/mL units. It then records amount of urination, the viscosity, the density of fluid etc. Now expect that from a doctor to sit and do..it will take days. This machine learns about the patient and then generates reports that help doctors to see things they wouldn't normally know about the patient real time unless they actually sent samples for tests in a lab.
Coming back to Cortana, it is an AI. It has to depend heavily on machine learning if AI is going to be your personal assistant. It is part of the program by which Microsoft engineers want to source in data from multiple users, then the machine (here will be a set of gigantic serves, running a script that involves more than 10-15 algorithms at least) will learn about usage patterns, key location taggings etc. and generate relevant answers in future. For example, if about 20 of us on this site work in a grocery store, every time our location of that grocery store is tagged as "work" the machine learns about users that they work at a grocery store. Then it puts two and two together when you will say "when I am at grocery store next..remind me..." It won't wait for you to be at another grocery store but will be intelligent enough to remind you at work that you may want to collect something from here while you work. This is just an example. But if you compare this to my real life machine learning, you will know that machine learning has no limits to it. You can tailor it to be as intelligent and evolving as you want. Location is part of this machine learning process where it doesn't only want to know how you communicate but also wants to know places where you are so that it learns about you.
Honestly, if people are so scared of NSA and governments tagging and doing what not - either you are involved in something that is way scary or you just aren't ready for the technology next 10 years is going to bring. There is nothing wrong with technology that learns things about human and makes life easier. Isn't that the way how PCs came in our lives? Now, look at it, we are communicating from totally different ends of the world! If you have an issue with it being store on a cloud from some corporation, this is the same corporation that makes our PCs, gaming consoles, phones and this very browser I am using to write you a reply from. Their sole motive here is "making money" they DO NOT care about what places you visit in your leisure time. They do not care about what you eat. If these giant companies with billions of dollars aren't going to explore ways of using technology, government isn't allowed to use it - who on this earth will make advances in technology? You, me and a bunch of folks at WPCentral? They have money, they have technology, we want it to advance - so be it.
I say, it is about time we stop living a paranoid life where we think everyone cares to know what we do in our lives, but instead live this amazing decade or two of technology because it is going to be freakin' awesome era to be a part of!
TLDR; Read about machine learning.