I am concerned for my privacy now too.
I suspect they want this sort of response out of people. My feeling is that, since it's nearly impossible for the average person to verify who it is that they are communicating with online and the information is therefore unreliable, I think they ask as a means of intimidation. They have no way of knowing that you are who you say you are- despite wedding pictures (!) I mean, any number of people who know you could be masquerading as you. Not that they would, of course, but it's quite possible. Without investing large amounts of time and money into pursuing your identity, they haven't got any real "evidence" of your identity whatsoever. It's all about intimidation.
They want you to think they can reach alot further than they can.