This is explicitly called out when you start using Spotlight in OS X, and it links to an option which allows you to turn the feature off. This is a complaint about nothing.
I guarantee you that you did see the dialog the first time you pressed ⌘-Space after upgrading to a version of OS X that includes Siri Search. You probably just skipped past it without thinking and then forgot.
You also get told before you are mugged; telling you about it has absolutely no bearing on whether the action that follows is acceptable.
Even if they tell you about it, it's still a bad idea. There's plenty of legalese that people don't read because life is too short. It would be better if this wasn't the default.
I know, no analogy is perfect. I am saying that getting mugged or having your keystrokes sent somewhere is inherently bad as default and should be opt-in, not opt-out.