I didn't even know this was a feature. My understanding has always been that Echo devices work as follows.

Store a constant small buffer of the past few seconds of audio
Locally listen for the wake word (typically "Alexa") using onboard hardware. (This is why you cannot use arbitrary wake words.)
Upon hearing the wake word, send the buffer from step one along with any fresh audio to the cloud to process what was said.
Act on what was said. (Turn lights on or off, play Spotify, etc.)

Unless they made some that were able to do step 3 locally entirely I don't see this as a big deal. They still have to do step 4 remotely.

Also, while they may be "always recording" they don't transmit everything. It's only so if you say "Alexaturnthelightsoff" really fast it has a better chance of getting the full sentence.

I'm not trying to defend Amazon, and I don't necessarily think this is great news or anything, but it doesn't seem like too too big of a deal unless they made a lot of devices that could parse all speech locally and I didn't know.