Read the fine prints again my friend. The privacy clause applies for their external parties and what happens is that the info is shared internally within the bank group of companies. Applications form will sometime ask this question but it is actually to ask for your consent for marketing and promotional activities to their business partners. (something like that)

If you cancel this then your junk mail will decrease. E.g. Reader's Digest subscription offer by xxx bank. (Ever received such promo?) So receiving a credit card from the bank that you have your deposits is not wrong in Malaysia.