Problematic..
The very nature of this sort of software is that it has to intercept your activities to actually do its job, which puts it in the best possible position to siphon off some of that data, and F-secure's privacy statement makes no mention of how to limit the considerable amount of data they extract )according to the license agreement you have to accept). The latter is also interesting because I was under the impression that privacy agreements need an explicit agreement, not one embedded deep down in a license, but that's less of a worry.
F-Secure has been around for a long time with generally rather good products, but that still isn't an argument to trust anyone IMHO - for anyone in security, trust is not a default option :).