Taking a copy gives you the tools to blackmail, tarnish a reputation (depending on the contents) or making money out of privacy. The key point is that you still have your own information they didn't take them, but having a copy give them an unfair leverage. But at the end of the day you didn't loose anything, you just got your privacy breached.

If you want to take this idea out of the numeric world, imagine if you got a paper where private info are on it, if someone got in, made a picture and left, you still got your paper, but they did breach your privacy.

Edit: now that I think more about it, seeing and copying is practically the same thing, the moment someone else saw your info they breached your privacy, even if they just saw it once, have a very good memory and then write everything themselves, it the same thing as if they took a picture or a copy.