I do think of the devious stuff like that, Linda. Not because I'm dishonest, as I pride myself on being honest and up front with people, it's simply about being vigilant. Kind of like the Google conspiracy theorists.
Generally, if I trust the source of the free tool that's being provided, then I usually don't give it a second thought. For smaller webmasters or one-person shows that I don't know personally, I definitely bat an eyelash or two before using it.
All told, however, there are hardly any secrets (or secret niches) left online. So, for keyword research tools, I don't think too much of it.
~ Teli