I think this is the crux of the problem. The reality is that no, a service does not have a right to collect data about you. The service provider may ask that you provide certain data to use the service, but that collection is not a right.
> It only becomes an issue when the company behind that service has its hand in many pies and correlates all of the related data, or worse, if they share or sell that data to other entities.
The notion that one has a right to collect data from users of a service is the same notion that says the service provider has ownership of that data. But this is faulty, the data is not owned by the service provider, it was merely collected and stored. This distinction is important: if you feel you own the data, you feel that you should be able to sell it. If you feel you are a custodian of data, then you are defaulting to protecting that data from others that a user never agreed to give it to in the first place.