I am kind of with you. I don't really worry too much about my privacy. If anyone has the skills or the ambition they are going to be able to gather the info no matter how much I try to protect myself. It is just a fact. That being said, I still refuse to have an Alexa or any other smart home device in my house. Those things are always listening to you!
I get the allure of Alexa but my friend who had one, would be sitting on the sofa with the lightswitch next to him and have alexa turn it on / off for him. Weird. He would also have Alexa look things up for him when he was sitting at his computer. Certainly he could have typed it in faster.
I think it is just showing off but yeah, it could be listening to everything you do. In my house the FBI wouldn't get much useful information.
You never know, everything can be spun one way or another. Those convo's you have with your doggie could land you in hot water :)