Phoning home isn't necessarily a bad thing as in the case of the weather app. The problem is that MS had detected other gadgets phoning home without user notification thus opening up potential vulnerabilities for dropping malware on user's systems. Rather than go through and analyze every gadget for security holes, they killed off their whole gadget system at one point, now they seem to be implementing it again, hopefully with some security infrastructure. Do you know what gadgets are contacting servers over the internet? I don't. Right now I rely on DNS Block lists to protect me, but I'd rather see some smart and secure design in software at the application level.
Just because you're paranoid doesn't mean people aren't out to get you :)