Connotation and etymology of "dossier"

Connotation

"Dossier" is generally associated with espionage, which itself entails deception and other morally questionable acts, so it's no surprise that it has a negative connotation to you.

Even dictionary.com notes that it is not only a bundle of papers, but "especially a complete file containing detailed information about a person or topic."

a collection or file of documents on the same subject, especially a complete file containing detailed information about a person or topic.

The oxford dictionary goes so far as to note the connotation of espionage and crime before the generic bundle of papers.

a set of papers containing information about a person, often a criminal, or on any subject

Merriam-Webster does similarly.

a file containing detailed records on a particular person or subject

Etymology

According to etymonline:

1880, from French dossier "bundle of papers," from dos "back" (12c.), from Vulgar Latin dossum, variant of Latin dorsum "back" (see dorsal). Supposedly so called because the bundle bore a label on the back, or possibly from resemblance of the bulge in a mass of bundled papers to the curve of a back. Old French dossiere meant "back-strap, ridge strap (of a horse's harness)."

or if you prefer Google's simplified chart:

As for how it came to be connected to espionage, my guess is that this happened some time during the turn of the century. Several popular spy novels were published around the same time: The Riddle of the Sands(1903), Kim(1901), The Secret Agent(1907)

The growing popularity of such novels during this era may have led the public to associate a word that was nearly unseen before the turn of the century with government agents who are above the law. "James Bond" increases almost parallel to the use of the word "dossier" according to Google Ngrams.