I think what they are referring to when they say its collecting data, is they will distribute information on sites visited, search engine information entered and things to that nature. Personal information such as passwords, etc. would not fall under this category.
Its more of a "testing" or advertising thing for Swype and its partners that back the program. Someone somewhere is building a graph/chart on most frequently viewed sites, popular search engine topics, might even be to improve the word prediction part of Swype. Looking for things they may have missed.