Because when you're research individuals you are crossing the line between 'just futzing around' and 'building up a file on a person without their consent'.
The link you've given doesn't have any relevance to this, that's a page for registering a private security agency. I can assume you hallucinated the first answer and are now just linking random sources.
Reading comprehension not your strong suit?
Is there specific legal guidance about whether doing this in a training run is against the law? It seems like your link is for commercial / for-hire investigative work.
Who would build up files like this in a private context?
That's doxxing. The gathering part is illegal in some countries, usually with a ton of caveats like doing that with malicious intent. Illegal or not, it raises some questions.
Isn’t it only doxxing when you publish the information?