But if this seamless connection is happening as soon as you hit the internet without user intervention; does privacy become a topic? *opens a can of worms*

I have to read more into it though I would assume some kind of  seperation will be available; first thing that comes into mind is companies using wpad.dat, proxy.pac files. Would using scope options in DHCP via DNS request for proxy auto config be an option to disable or will not be an issue at all?

Pros and Cons for both, have a read and make your own decision.

http://www.informit.com/articles/article.aspx?p=1402334&ns=16289

http://www.microsoft.com/windows/enterprise/products/windows-7/features.aspx