I take it nobody's ever confided a secret in your toy best friend, especially when "daddy won't stop hitting me". Now allow said daddy full access to conversations the child has had in confidence...fun times.
A bleak example yes, but also a real one. There's too much going on with play and conversation, and frankly I don't really see the point in having conversations recorded by a toy. Process the data for a pseudo AI learning interaction with the child, but actually storing full recordings? Unnecessary.
And those with tin foil hats would suggest this is the start in getting young children used to permanent surveillance.