Well, kind of, yeah; the dictionary definition of spying requires secrecy and lack of consent.
> to secretly collect and report information about the activities of another country or organization[0]
The only real debate is whether or not having a clause tucked away in a EULA that few people read makes it a secret. If Anthropic had a big flashing red banner that said "FYI we automatically flag and review any conversations about illegal things!!" on the front page nobody would call it spying.
[0] https://dictionary.cambridge.org/dictionary/english/spying