It seems like you just can't escape Big Brother these days in one form or another. The privacy issue here stems from the fact that the JPEGs in that folder can only be deleted manually, unlike all normal browsing history which can be purged upon exit or on request. Even hard resetting the device still leaves your browsing footprints intact for the next owner to see, unless you get rid of them with manual labor.
It's good when people pay attention to such details. It gives the manufacturer hints to right the wrongs, considering how many phones run that same UI from HTC. Their users might have never noticed what their widgets do behind their backs.
UPDATE: Some users noted that the issue is with the visual bookmark widget in HTC Sense, which stores screenshots of your most recent visit. However, they are supposed to be stored on the SD card, rather than internal memory as the initial source announced. That is why a hard reset wouldn't delete them, and the issue with having to remove the screenshots manually still stays.
source: Boy Genius Report via Engadget