They absolutely do. I have three and use them all the time. Use case (beyond charging) to have them right in the box is that they can be used to transfer data from a previous Mac to a new one upon setup (heir to the good old "target mode" that used to turn a Mac into a USB mass storage device), or for T2/Apple Silicon to debrick the device by entering DFU mode.

Just got a fourth (shorter, different from MacBooks) one with my new iPad, it has data too, which I just used yesterday to restore the encrypted local backup from my previous iPad and perform a new local backup. I bet the cable shipped with these new iPhones is the same as with the USB-C iPad ones.

That sounds highly unlikely, the one that came with my MBP supports everything up to Thunderbolt. But USB is ridiculously complicated, and sometimes better cables fail on shitty devices; I've seen it a few times with camera equipment where I really needed the cable that came with it because higher specced ones just didn't work.

Unless you received a faulty cable, which I guess is technically possible if extremely unlikely, this is categorically untrue.

Not even close to true. Remove it from the charger and use it as a data cable, works fine.