1) It's always listening for a keyword, and then it starts recording. It's a voice interface for a computer.
2) Your phone is doing the same thing except for it follows you around everywhere you go and records your map location, what apps you use, who you are talking to and what your web searches are. Your phone isn't recording just what you say...its recording what you do and where you do it and when you do it. It's overwhelmingly more pervasive and invasive if you value privacy.
3) The utility of being able to interact with a computer via my voice wildly surpasses the risk. Even if it had been my voice sent to this random other person all they would get is 3000 recordings of me saying "Alexa, what is the weight of an elephant?" "Alexa, play Magic Sword." "Alexa, whats the weather?" My father-in-law thought these things were the devil until he realized he could ask it to play ANY SONG HE WANTED and it would do it. Now he is always unplugging ours and plugging it back in on the porch so he can use it out there.
Literally every article about home assistants brings out a number of people who continue to say how they can't understand how people could have this in their homes. Great, you can't understand it. Meanwhile, an enormous number of people find immense utility in home assistants otherwise they wouldn't be proliferating so wildly for this long.