It is weird isn't it. But you can verify it by going to http://www.whatsapp.com/legal/ and reading the "Special note to international users".

My interpretation of this and a couple of other hints - you agree to transfer your info to the USA, anyone not blocked that has your phone number can read your communiques - is that they're saying that a USA TLA [or whoever] are guaranteed to be observing you when you use the service. But that could easily be misinterpretation on my part.