Normally, when one speaks of tracking click-through, one would expect to have a modified link on a page that, essentially, notifies the source server of the page that they're clicking on a link and then getting redirected to the final destination page (normally an ad, but not necessarily).
What Microsoft is claiming that they're doing here, however is having IE phone home with what a user is doing on a completely unaffiliated page. This, then, raises the question of where else are they tracking what I'm doing? Are they tracking what stories I'm reading on slashdot? are they telling the CIA/MOSAD/KGB when I use a proxy to read Al Jezera? This raises a huge slew of privacy questions about what parts of my browsing history are being tracked in one central place, if I were to use IE as my browser.
Even secure links and proxies become irrelevant if the surveillance is being done from within the browser.