In principle, it should be far more concerning to see private entities getting access to personal data - because they operate without any opportunity for the public to be involved (their pure tyrannies in a sense) and are completely opaque, but the government is far more transparent and the one institution which you can change by democratic involvement.
Of course, this type of data gathering is concerning in any case, but the government is the last on the list of entities we should be worried about having it.