Hello Barbie, CogniToys Dino, and Amazon Echo are part of a new wave of connected toys and gadgets for the home that listen. Unlike the smartphone, these devices are always on, blending into the background until needed. We conducted interviews with parent-child pairs in which they interacted with Hello Barbie and CogniToys Dino, shedding light on children's expectations of the toys' "intelligence'" and parents' privacy concerns and expectations for parental controls. We find that children were often unaware that others might be able to hear what was said to the toy, and that some parents draw connections between the toys and similar tools not intended as toys (e.g., Siri, Alexa) with which their children already interact. Our findings illuminate people's mental models and experiences with these emerging technologies and will help inform the future designs of interactive, connected toys and gadgets. We conclude with recommendations for parents, designers, and policy makers.