I see that you have CA logo as your avatar -are you from CA?
Yes.

You guys are not worried that Valve/Steam will have a detailed profile of every single ETW customer after ETW ships? Are they precluded from selling that information or using it to market their own products? What if Valve is acquired?
Over 15 million people use Steam for a huge variety of games. Personally in the 3 years I have been using Steam I have never received any form of marketing email from Valve, and I know of no one who has.

And are you guys concerned that having Steam always running in the background burning CPU cycles will negatively affect gameplay?
I have very rarely seen Steam using any cpu cycles, and I've been using it since 2006. As I said above, it uses about the same amount of system resources when running as MSN messenger.