Just noticed that I was sharing my entire Safari, Spotlight and Siri search history in that menu. Why is that setting in Spotlight settings and not under Privacy/Analytics?
I've found that kind of thing is often caused by a damaged preferences file. The easy way to check that is to make another user account, and see if it happens there too.
OMG this one drives me bonkers. If anyone out there knows how to turn off internet results, please share!