I don't realize it. I'm genuinely asking, how are users behind a NAT tracked? Browser fingerprinting?
This is one specific way in which a VPN is a poor solution to protecting privacy. It means the user has to constantly be on guard to which traffic should go over the VPN and which should not. Even one single slip up could negate all the benefits you think you are getting.
Edit: This reply should have been a couple levels higher, addressing the general tracking discussion rather than NATs specifically.