It took me awhile to get comfortable with my contacts and calendar entries syncing with Windows Live/Outlook.com but I realized the issue was with me. I come from a BlackBerry environment and I'm used to plugging it in and syncing with my desktop. But years ago, I was concerned that if my BlackBerry were lost or stolen and I hadn't plugged in and backed my BlackBerry up recently, I would be missing everything since that last backup. So I subscribed to a service called SmrtGuard (now SnapSecure) which backs up everything overnight to their servers. BlackBerry has since come up with an internal app called BlackBerry Protect. I viewed all of these and beneficial. But with WP, when I saw I had to sync with Outlook.com, I balked at first. Then I realized, it's the same thing I'm doing with my BlackBerry, only it's free and automatic. If anything happens to my phone, I can recover my data easily. It's really a great comfort.
That said, that is just my viewpoint. I know others may have other needs and concerns and for them, having the flexibility to turning of the automatic backup of contacts and calendars may be desirable. I just see it as an option that saves me from my own recklessness.