"As long as they are simply gathering all information that is legally knowable"
The law is out-of-date. When the law was written, constructing a dossier on a person required effort -- officers in the field, following the target around, interviewing people, etc. Today, the dossier can be rapidly assembled, assuming it has not been already by some private company that "specializes" in constructing such things.
We need an update to the law, to protect our rights from government use of new technologies.
"Phone records. Addresses. Aliases. Friends. Fingerprints. Is it wrong that they want to put in all in place? Would we be happier if they had to run around to 25 different government agencies / 25 private corporations to get the information?"
Yes, I would be happier if the bureaucracy slowed the police down, as a basic protection against tyranny. We have far too many laws, and far too many prisoners -- anything that slows the expansion of our prison population and renders absurd laws unenforceable should be welcomed. Do you really think that these databases will be used solely to catch murderers and rapists? Most of people targeted by these sorts of programs will be nonviolent, non-dangerous offenders who will be charged with dozens of crimes and told to either take a plea bargain or risk a longer sentence if they exercise their right to a trial (and if even a tenth of them were to demand a trial, our court system would be overwhelmed by the case load -- yes, that is how extreme things have gotten).
"I'd like to know I have the freedom to do the same thing"
You do not. Go ahead, try to go around your town collecting these sorts of details -- you'll be arrested for harassing people, being a public nuisance, resisting arrest, and probably multiple other crimes.
"Should individuals have the power to control what others do with the information that is publically knowable about them?"
We are not talking about any other random people, we are talking about the police. The police are a special class of people. We let them arrest people, holding people against their will at gunpoint. We do this because some people pose a danger to society, but we must be careful with just how much power the police have, in both firepower, information collection, and budget (currently, the police can recycle the proceeds from certain kinds of arrest back into their budgets; unsurprisingly, such arrests are more common than any other, and our prisons are filled with people who were targeted for such arrests).