Yes, and they do all that with the user's consent.
What of sites that unilaterally change rules retroactively? Or fail to provide reasonable alternatives?
Facebook does all of the above.
To an extent that I don't trust it, and don't use it.
But there are plenty of other services which wave the "but you consented!" flag. Google comes to mind, and I've had my set of issues with them as well.
I mean, of course elements that are embedded in Web pages may be traced by the party who sends them (and pages very often include off-site content).