@Jeffro hit the nail - the Mollom service is bound to very strict Belgian/European data privacy policies.

This is why the Mollom plugin suggests to output a corresponding notice (and link) on protected forms by default, so as to inform and educate users about the privacy of their data, as required by (globally leading) European data privacy laws.
(The option can be disabled.)

It's not clear why other plugins and services (like Akismet, but also Woopra, Google Analytics, etc) are not educating end-users (nor the web site administrator) about data privacy; that should not be an afterthought, as their primary purpose is to process user data.

Exposing this notice by default and even providing a configuration option appears a bit weird and excessive at first sight - but it feels good that Mollom takes this seriously.