I wouldn’t be too worried about this software - it still requires access to the machine. If you’ve lost that battle, you’ve already lost the war.
For wireless internet access, though, no physical access to your machine is necessary. All a person with the right equipment needs to do is to be in the vicinity of your transmissions going to/from the access point. If your data is being sent 'in the clear' (unencrypted) between your computer and the access point you're using, there is a risk that it all can be captured.