That's how you get installed an unwanted browser bar, a new amazing search engine, and the Norton security pack for 60 days.
If you see the screenshot carefully, by default they are asking permission to upload to their servers the content of your user directory "Enable access in Users/kite". Go and take a look at all the info you have in the subfolders of your user directory. [1]
My guess is that most people just expected that the current file was uploaded, not all the py files. Perhaps only the current line, not all the file. And many didn't read the dialogs and they just pressed enter.
[1] They only support Phyton, so they uploaded only the .py files, but I guess that in the future they can extend the search types to C and upload the .c, .cpp, .h, .inc, ... files too. Do they have to ask again or the current permissions are enough? What if they extend the search to .doc and .xls? What if they extend the search to images? Go again and take a look at all the info you have in the subfolders of your user directory.