Most companies have no incentive to let you hold your data when they can just hold it for you.
If they do this they can mine it for data to improve their product as well as sell or otherwise indirectly profit from it. And, it's easier.
Also, while the market for privacy focused products isnt nothing, the number of people willing to pay a lot extra to compensate for the missed opportunities companies get by collecting your data is, i think, smaller than many people imagine. Which is sad.
I think the only way it will grow to an appreciable size is by seeing up close and personal what a really vicious stasi-like secret police does with dragnet surveillance and come out the other side, with scars. I believe we've only seen a small taste of this.