Just that you’re helping them to recognize you, which then means it’s easier to compile data about you. This is the data they use to determine what ads to show you, but also information they might sell to companies.
In the past much of the user tracking and fingerprinted was handled through cookies. But in recent years the use of cookies is decreasing. There are better ways of tracking activity, many of which are just based on the websites we visit actually collecting and providing our detail.
So like when we visit Facebook, Meta (the owner of Facebook) is logging our visit and the details from our browser. They check for things like which Operating System, Time Zone, Language, Graphics Card, IP address, web browser, and other information is being used.
If you click an ad there to go to a website, even if cross-site tracking is blocked, the website we visit then will also log that same information. So it sees the IP address, device information, etc. It also tracks how active we are on their website and if we click anywhere else. They then have a mutual agreement with Meta where they share these logs with each other.
This is what is called server side tracking. Even though you do everything you can to block things on a browser or device side, they can still identify or estimate enough details to know if it’s you.
Also for the ads, it works similar. When it’s seeing a click it will look at everything that happens after to know if it’s valid.
The way I’m phrasing things isn’t exact and is just an attempt for a quick and simple reply as I’m getting ready for bed. But I’m at least trying my best to give some examples of how things work.
Reducing fingerprinting is just a way of randomizing as much information about our devices and activities so that tracking of any sort is more difficult. But it is a hard battle and anyone sincerely worried about it would have to use things like VPN, be very limited on extensions (what extensions are used on browsers can be seen sometimes), make many modifications to their browser and device (called hardening), etc.
Anyway, the ultimate goal and protest is just giving as little information as possible and not interacting with their ads. Don’t even let them view. Then they can’t get money. Low ad views and results would discourage companies the most. But actual views and clicks are an encouragement to everyone in general.