It depends on a few things, primarily what the data is you are backing up, who the company is and what your role is.
If you are backing up source code from their systems onto your own drives, you are pretty much in violation of both moral and legal obligations. Emails could be argued could go either way, if the email contained trade secrets or other IP or protected data then you could still be in violation. If you forwarded an email on personal appointments that you had on your work calendar than generally that is safe.
As for the black hole of life, I have a couple of fairly significant times periods you could consider black holes. One especially is sad because I feel it is where I did some of the most awesome work of my career but I just don't have anything to share or show for it since it was all the companies work. I didn't keep one iota of anything from them because it wasn't mine.
I know of some companies that do install file transfer watchers. So the moving of any file on or off the computer is logged and monitored, but keystrokes are not. So doesn't take a keystroke logger. When I ran IT and development for a medical company we installed network based file detection so we could also see if people were moving more data or data that matched certain patterns around on the network. This let us take those logs and tie them to computers and people and see if it was authorized. We also had software on all the computers that monitored files on/off and blocked USB and CD/DVD drives. Eventually we uninstalled all CD/DVD and started ordering machines without USB (that was a chore and so not worth it IMO).
