I've been making the effort to use Bing. Why? It's worth keeping up with alternatives and I was inspired to look around for Google alternatives after the sad decision to drop Google Reader.
Actually, I do check into Bing now and then and so I think this banner across the top of the search engine is fairly new. This is Microsoft's effort to stay compliant with the much lambasted ePrivacy Directive. In theory you're supposed to get opt-in permission but that's a nightmare and not even governments do it.
The link goes to this policy page which is pretty well designed, I think. Making Bing/Microsoft's policies pretty clear and easy to find.