it is no different than your smartphone. think of all the apps you installed that asked for camera and microphone permission. think of onstar or those other vehicle services that works with your voice. think of all the keystrokes being kept by your internet/cable provider whether wire or mobile. Think of the local stores keeping track of your purchases when you use their promotion card/write checks/ use debit or credit cards. think of everything being kept about you by that digital cable box or streaming box you have connected to your tv. think of all the info this website is collecting about you. IMO, alexa is no different. and yet there's more, so much it would take a while to write it.
so of course amazon know when you are using the echo and of course there is a history on amazons servers. If you are concerned about your privacy, forget it, you lost it years ago.