In reply to Greg Brown.

Do the people who use site with jetpack know that?

That information is indeed available when one connects their site to WordPress.com in the first place, and is mentioned in the "Privacy" page within the Jetpack dashboard.

Is there a link to that page automatically generated on these websites?

That link isn't automatically added to your site for you but Jetpack, like other plugins, uses WordPress' built-in privacy policy builder to help you add relevant content to your privacy policy. To make that easier, Jetpack also offers tools that can help you with that (you'll most likely be more interested in the "Privacy Policy Helper" section).