Yes, granted, Apple could always extract (and to some extent probably is) your history directly via OS hooks, but the "Private" relay gives them a completely opaque off-device way to centrally track what everyone is visiting, which is just another data point feeding into their rapidly-growing advertisement business.
Paranoid? Maybe, but after the whole on-device scanning fiasco I view Apple in the same category as Google, Facebook and Microsoft when it comes to privacy guarantees.