This is a primal specific thing. They let you set up your own wallet and link it using a lightning address, but they provide this feature as a default in order to help newcomers get started quickly. Those who wish to withhold the information asked will either find another solution or simply not set up a wallet at all, but this gets more people on board in general. Those who are more into privacy are more into putting in work. Fortunately, Primal gives you the option to choose, but other clients just force you to do extra work to set it up.