And the fact that there isn't nearly enough storage capacity being created in the world to contain said data for any reasonable amount of people?
Much of what they capture can be stored temporarily for filtering, saving what looks interesting and discarding what isn't.
Sure, we can concede that they aren't storing absolutely everything. The point is: they're storing a lot, and they're trying to store as much as they possibly can.
The mistake you are making is using facts and logic. This is a discussion about the NSA on HackerNews. Facts and logic are of no interest here.