The “data that [advertisers] have gathered” in this case refers to data they have gathered about user activity on their own websites that is being used to inform the ads that are displayed to the same user when on the Network.
Do those tracking pixels allow the advertiser to know what page on the Network the user is browsing when their ad is served?
The reason I ask is that on my profile it states:
Stack Overflow never sells or shares your activity data with third parties. We use your on-site activity to show you more relevant content. For example, we might show you questions based on the tags you usually browse, or show you job listings in your current location.
But, if you are allowing a third-party advertiser to know what page I'm on when you serve their ad and you allow them to send a tracking pixel that uniquely identifies me, you ARE sharing my activity data with a third party. It isn't very obvious that by allowing you to set "cookies and similar technologies (such as local storage and pixels)" that a user is agreeing to allow you to share their activity on the network, not just what ads they see and click on.
If the third-partyadvertiser doesn't know what page a user is viewing their ad on, that's great! If they do, then they can infer a lot more about that user than the user might expect once the data is aggregated. Those inferences could include things like possible medical issues, or being part of a labor dispute, or being engaged to an addict*.
I believe that the SE staff doesn't really want to invade people's privacy, but you're entrusted with more personal information than I believe you realize.
* These are just a few random questions I grabbed with a quick browse on sites I knew there would be sensitive questions; they aren't the best or most compelling examples.