Not all apps do that (in fact i cannot think of any desktop application that i have installed that does something like this - though if i could, it would get the boot) and because applications run locally it is possible to monitor and control their behavior (indeed, with a server you just don't know what is going on, but with a local app you can at least tell that something is going on).

Also, while the UI is far from ideal (at least on Windows), you can block individual applications from accessing the Internet. It should be much simpler than it is now, though.