Looks like Microsoft has confirmed that there was tracing technology included on the builds given out to beta testers at the end of the Windows XP beta to track down who was leaking them. Here is the post from Microsoft's John Gray via the MS Beta Newsgroups on it (Thanks Steve):

I wish that you'd chosen to email us privately. Yes, as other posters have surmised, this was used to track down leaky beta testers. There are a number of people no longer participating in the beta because they were directly traced to deliberately leaking builds. However, disclosing the existance of the tracing technology simply means that we will no longer be able to remove such people from the beta as easily.

Many beta sites complained over & over about the warez kiddies getting builds. Well, this is one thing we did to try to stop the leaks. It's only on FTM, only on beta site downloads, and is not related or used by WPA or Windows setup in any way (why would it? normal product distriubtion is by real CD, not ISO download).

There's no privacy or security issue here. 1) this has nothing to do with security or securing private info. It's simply a tag. 2) this is not a privacy issue - you are the one that gets the file with the tag, not us. Unless of course, you were to choose to share our private builds with the rest of the world, otherwise the info goes nowhere but onto your own computer. 3) We don't need or use this to track who downloads, or how many times. That is automatically kept by server log files if we wanted to dig thru the info. But when an ISO is loose on the warez sites, there is no way to trace it back to a specific download.

Oh well, in future betas, no use complaining about the warez sites. Our choice is to run a 100 person beta or run a real beta and recognize that in today's world, there are warezers out there.