Perhaps they do, but without a constant connection to wifi or EDGE/3G that the iPhone has, you'd have to authorize it, in order for it to be sent. Probably not so with the iPhone. It's designed to constantly talk to the Internet (it's even got a new notifications framework that relies on communicating with Apple's servers).
I can't comment on whether or not you need to authorize each application in order for it to use the GPS APIs or not, but if you don't (which I assume you won't), this could be scary.