I consider FB chats to be much less private because they actually get stored on a server somewhere by default. Also I can access them anywhere with an internet account. Neither of these things are true of SMS.
But hey, auto-saving history without prompting you is worth it, right? (Also figuring out what to advertise to a user.)
http://gizmodo.com/349308/verizon-att-respect-your-sms-priva...