I don't remember reading that anywhere. Maybe it's in the huge sort of War and Peace-like terms and conditions that are attached to the device.
I think that although it may be the same as using any other kind of search function, the fact is that he was talking to a computer, and I'm not sure users are aware that this information is stored indefinitely. I did not know that was being done. I had no idea how you'd go about identifying that. I'm slightly intrigued as well that you can, in fact, see a transcript of what you've asked Alexa.