This is not for privacy. It is done for the sellers/buyers of PII, buyers do not want to buy data they already own and the seller doesn't want to disclose data before they sell it.
Yeah if you want to check if user is in someones else database you ask the user if the check can be performed. Then you will have the check already done if user doesn't agree even if he is in the other database it is not for you to make that check.