UGH, if they didn't send data, there would be no statistics.
Alexa is about the only publicly available source for determining the relative popularity of websites...precisely because it does send the data back.
sure, ok, as an individual user, some people may not wish to use it, but as someone observing the popularity of websites, its a useful tool, and important to put things in the historical context, if one is to preserve information about the internet as it once existed. Certainly most websites will not provide this information, and even if they would, trying to collect it in some kind of voluntary manner is impossible just from a logistics perspective....
Alexa is useful for web site traffic stats at a very high level, useful for internet historians...whether it is useful from the perspective of the individual user...well, that goes back to the toolbar itself..clearly some like it, some don't.
I don't suggest anyone purposely try to fool the stats by installing Alexa and visiting their fav' websites....