Oh yeah - the monitoring has been going on for a VERY long time. Given that 99.9% of us are plain-joe law-abidin' citizens, I'd bet it gets a tad boring for 'em.....
Now that your computer is online 24/7 you can bet that everything has already been archived off of it, by numerous organizations both legally and illegally. If you think a firewall is keeping anyone from your information, well just keeping thinking that, you will sleep better.
My 2 cents...