Who you've added to your circles is public by default. The information is visible on your profile page (though your individual circles aren't listed). One could easily forget they have Direct Connect enabled, and there could be consequences. You hear on the radio that you can sign up for a contest or watch a video on the brand page of that one band you like…; you like the band, but you really don't like how people react to you liking the band. And of course, a band is a tame example.
In addition to infringing on privacy, Direct Connect is downright annoying. If you decide to opt out, the same prompt will appear every single time you visit a Page using the plus operator in Google search. I haven't seen a "don't show this prompt again," unfortunately. This pressures you into opting in.
I can only assume Google implemented this feature so they could make this pitch to businesses: If you set up a Page for your business, users who you manipulate into visiting your Page will be [made-up statistic] times more likely to add your page to their circles.
That's what Google has against Facebook: inevitably, not as many people will interact with your Google+ Page as with your Facebook Page, but enough will because Google+ will kidnap them all and threaten to break their legs if they don't cooperate. That totally makes up for not being able to delegate other users to post on your Google+ Page and for the general lack of excitement surrounding the launch of brand pages.
It should also be noted that I haven't found Direct Connect to work properly. I'll type in +Google M and "direct connect" with the Google Maps Page, but I can't type in +Google Br and get the same luck with the Google Brasil Page. I can type in +co to connect with the Team Coco page, but oddly enough, I can't type in +team.
The automatatic adding-to-circles feature is at least not secretive in its operations. A message appears informing you of the automatic add, with an option to undo it. This is not good enough though.
Update December 29, 2012: The original version of this post had the title "Google Launches Plus Brand Pages with Direct Connect; Direct Connect Packaged with Crazy Automated Feature; Crazy Automated Feature Distracting, Dirty, Evil." The word "evil" was entirely an exaggeration and was not meant to be taken literally, and I don't know that it was. I now think that to use the word "evil" jokingly is in poor taste, and it might be taken literally.