No, I haven't. Good point. Despite the emphasis I've put on it here, it's really just a relatively minor irritation not worth bringing up in a formal way, at least at this time. He's getting enough pushback from me on things that are more important to the team as a whole already.
I'm very far from shy, though, and if/when the general subject comes up in more casual conversation, I will certainly say something.
This may help your particular case and I hope it does if you ever address it. But what would be even better is if any of the managers who might still be reading along (doubtful but you never know) internalized this: if you find yourself about to ask one of the people you manage a question that can be correctly answered "that's really none of your business," then just don't ask it. Couldn't be simpler.
I'm very far from shy, though, and if/when the general subject comes up in more casual conversation, I will certainly say something.