I guess they are, it just wasn't something I expected to learn at that time in that way. So I guess it isn't really a big privacy issue, just a strange experience.
I would have been more comfortable with it if it had been part of the original screening, and not something that popped up randomly before a transaction, after I had already moved money into my account.
Yes, sale prices can be found in public records. Just look at sites like Zillow, you can look up any property and they'll show you a history (I'm not sure how far back they go) of the sales history of the house.