As crap as their 'vision' of what was possible with NuAds, all data will be anonymised, hell it doesn't even have to leave your house to achieve what they want..
The worse case as I see it is you've accidentally opted in to stuff and Kinect 'could' be used to guage some response to an advert.. You box doesn't send images of you 'responding' to the advert to MS who then send those to third parties, it would locally identify what your response was (good or bad as an example) and log that on their servers, with that data then anonymised to advertisers, and again, worse case thinking, that anonymised data is then used to push some form of response back to the box, like "A user liked advert X, now show them advert Y", no personal info required.
I see no reason to think that any live streaming, snapshots, or audio clips to be uploaded from your house (other then opted in voice recognition improvement programs).
They really need to do a 180 on this, or make the program so obviously opt-in that people can make the choice legitimately about targetted advertising, because peoples perception of how marketing data is collected/interfaced seems to be different from the reality of it.