What times your lights are on or off can expose more than you might think over time. It reveals when you're gone for work, your sleep schedule, how many days a year you spend at home vs traveling/elsewhere, when you stay up late, etc.
But it gets worse. If you give Hue your email or install the app then now you can be uniquely id'd across other products. Hue will sell that data to some advertising agency, who also buys data from Google, Facebook, etc. Now your usage data from other systems can be combined with the Hue data and used to more even more accurately track your day and behaviors.