The very first time I saw that scene as a teenager, I actually thought for a second that Picard still might be working for the Borg. In a way, it would have been a brilliantly daring move. But you're right, it wouldn't have fitted in with the spirit of TNG. (I think it would even have gone way too far for a show like DS9).
Not working for them, but they certainly pointed to a connection in First Contact, "I can hear them".


Different stages of cranial development. Picard was seemingly much more self-conscious during his experiences as Locutus, whereas Seven essentially "became" wholely Borg after her assimilation, wiping the human designation 'Annika Hansen' from existence. As the Borg themselves might phrase it.