The critical thing is that the company is warning you that they are, or can, monitor you. There is legislation, but I suspect it's less about telling you what the legislation is, than confirming what the company is up to.
As the admin of a small company's IT network (amongst my other jobs) I make sure that each user, before they get access signs a simple disclaimer. It's not just about protecting my employers from allegations, it also protects me from when I have to log on as users to troubleshoot issues and might come across something. Of course there are legitimate purposes, when the network is slowing to a crawl, the logs can often show the cause, which in the past has been traced to a user abusing the IT system.
In any case, why should a company not have in place systems that check on email and the like. The very needs of business can require a trail that confirms communications made, simply to confirm what the company is committed to do.
Frankly (and no doubt I'll get a few moans for this), I'm amazed that there is such apparent indignation that companies can and do monitor email, web use and so on. Realistically, we are employed by a business to be working, not to be doing our own thing. Companies invest a small fortune in IT kit, so that it makes their business more profitable, but they don't want to loose that efficiency by seeing their employees spend time that should be generating earnings, lost to pointless emails, web use at all. A few years a go it was abuse of the photocopier, and private phone calls that concerned companies, now it's abuse of IT. It's all the same thing really.
/goes off to stop abuses of the IT system by those he monitors 