What the cigarette companies perpetrated in the 60s was
fraud. This was not mere 'information asymmetry'--this was flat-out lying about what was in a product, which is its own special category of badness (to start with, it's a breach of contract, in some sense). Also, as an important (but logically irrelevant) corollary, people died.
I don't think that "information asymmetry" is ever sufficient cause for government action. And I don't think "there is a trade-off between the consumer's right to know and a company's... right to privacy". That's a weak tautology, like saying "People shouldn't have to walk through metal detectors, and should still be perfectly safe in planes." It's vague enough to be agreeable without actually having said anything.
It's easy enough to look at the Hoover Dam and say "Look at this dam! Without government intervention this dam would not exist!" The fallacy is to suggest that the choice is between the hoover dam and nothing. In fact, it's the choice between the dam and where the money would have been spent. Was the hoover dam better than whatever the market could have done with the money? I don't know, but that's an extremely difficult position to argue--you have to argue against everything.
What you're saying is, basically, the government intervened to force companies to give us information. Is that good? I'm not so sure. We started (seriously, anyway) regulating the financial markets shortly after the great depression. Then the market got too complicated for the regulators, and it crashed, so we wrote more complicated regulation. Wash, rinse, repeat. There are still as many Madoffs today as there were in the 1890s--the only operative difference is that they've been regulated into a complexity that could potentially fool even me. Meanwhile startups are too scared to IPO, which is the secret cost everybody overlooks (what we would build with the hoover dam).
By and large, you still have the same percentage of bad apples. Information has simply inflated over the years. Still the same asymmetries, just a higher floor.
And what's really perverse about the whole thing--you see huge gains in the floor during the highest asymmetries. Think about the great economic booms--railroads, industrial revolution, even recently with MS Windows and/or Office. These are periods of huge economic growth, of technology raising everyone's standards of living. And they're the periods of patents, of lawsuits, anticompetiveness, and huge economic disparities.
At the risk of committing a huge causal fallacy, I posit that asymmetry, informational or otherwise, is necessary for these gains. Or at least more necessary than most of us feel comfortable with.