*Yo ssi's Take*
In short what's going on: WhatsApp has updated their policies to allow them to share information with 3rd parties which can include advertisers etc.. while they won't be sharing your actual messages, they may share your phone number, app logs, status messages, profile name, profile picture, IP address and all transactions in their payment option they have in the works. Basically anything not E2E encrypted (see below).
Should you be worried?
Yes and no, depending on your level of comfort. I'd assume most facebook users are already having a significant amount of data shared.
Why are people moving?
Mostly because of the way WhatsApp is being run under facebook and where it may lead. It's definitely a good platform to be moving away from.
What is end to end (E2E) encryption?
It's a secure way to send messages without it being passed through or stored by a 3rd party. Something which isn't E2E encrypted your giving the option for the 3rd party's server to be compromised, and a potential point of entry, not to mention the 3rd party can access your data (WhatsApp messages calls and video calls are E2E encrypted). That's the reason at times you couldn't download that picture from a group because the picture has to be physically on the phone of the sender and isn't stored on the cloud.
WhatsApp E2E is worse than unencrypted chats because it’s deceiving. If you ever back up your chats, it’s unencrypted messages. And not just you, but if the other end of the conversation backs up their chats, it’s also unencrypted. And since it’s given that basically everyone backs up their chats, nothing is actually private on WhatsApp. But who would expect otherwise?