For starters, see:
http://axe-s.com/weatherbug/
I guess it's a question of whether or not you want surreptitious communications (beyond updating temps/forecasts) going on and/or yet more advertisements from an already saturated medium/marketplace.
Not to mention the fact that there are better programs, many of them free, that do not contain the ad/spy components.
I don't see where that says it ~does~ that. I do get one ad, and only when I check the forecast. I get no other ads or bother from it, and it works.
I don't feel overmarketed to, really, but then I don't visit a lot of sites that have ads... and I do use Google toolbar adblocker that catches most stuff.