Its about helping organization utilize their data - nothing more, nothing less. Palantir does not own the data. They do not fuse some secret magic data source with other secret magic data sources. They provide tooling and platforms to allow companies to make sense of their data.
Look at https://www.palantir.com/palantir-gotham/platform-features/ for instance. It lets you draw connections between data, it allows you to spin up graphs to look at relationships, or plot things on a map, or perhaps make a nice web-based pivot table. But it is not some draconian evil thing, where moustache twirling villains sit around, finding new ways to pry into your personal data. Nor are they some scary shadow government-corp that seeks to entrench itself in the military-industrial complex in order to control things from within. It's tooling, its refinements on data, and its your typical software as a service company. The value proposition is giant players are good at having lots of data, but bad at using it, or finding insights, or visualizing it, or whatever - so they offer a one-size-fits-all set of tools and solutions.
I am very tired of the misconceptions around them because of their cool name. Some of the most intelligent, humble, and hardworking people I know work there. Their mission is misunderstood.