They had to, in order to comply with the Swiss law. The discussion you linked links to an official Proton page, so at least they're honest about the data they must disclose
No, it's not about surveillance avoidance. It's about US surveillance avoidance.
Also, Spotify is listed under "More European alternatives to US tech giants" not "Privacy-focused European alternatives". So they're not even stating it's privacy focused, they're just saying it's not USA.
But I do agree with you, if I wanted to avoid music surveillance in general I would avoid Spotify.
If you are in the US and want to use European alternatives to avoid surveillance by US tech companies, then the NSA has free rein to intercept/decode/record everything you do that crosses US country borders. Also everything outside of US borders is considered fair game. Maybe the same is true of Europe and European borders? Even if your data is in a safe place, do the API's take the data across borders when used? Do you need to continually check the network route your data travels across to make sure it stays within borders?
https://news.ycombinator.com/item?id=43578106