Personalised ads are beside the point. The issue is how they are personalised, namely by building a rich profile of user behaviour based on non-consensual tracking.
It isnt even clear that there's a meaningful sense of 'consent' to what modern ad companies (ie., google, facebook, amazon, increasingly microsoft, etc.) do. There is both an individual harm, but a massive collective arm, to the infrastructure of behavioural tracking that has been built by these companies.
This infrastructure should be, largely, illegal. The technology to end any form of privacy is presently deployed only for ads, but should not be deployed anywhere at all.
The very ability to provide that list previously required an expensive secret police; today it does not.
This is an extremely dangerous ability for anyone to have -- human rights (such as that to privacy) were won against oppression. They aren't optional, they're the system by which we prevent those previous eras from reoccurring.
This is why i'm suspicious of the being a meaningful sense of 'consent' here -- if enough people consent, then the tracking agency acquires a novel political power over everyone. This is why the infrastructure of tracking itself is a concern.
I take your point that some level of this power exists, necessarily, within internet-based companies with online users.
But I think there's a big difference between, say, signing up to Grindr where you submit a basic form with limited information (and presumably) can retain some minimal anonymity in how you use the app --- and a system whereby the history of all your actions across your online life (banking, social media, dating apps, etc.) is collectable by a centralised agency.
With laws like GDPR, broad datasets have become a liability for companies like telecoms, banks, etc. They don't want it. Accidentally forming 'rich user profiles' based on non-annoymous data is a legal liability.
This is exactly the incentive structure needed. Rather than have companies with an existential profit motive to build mass surveillance systems.
As far as whether a relational database that takes user data from a form is different to a whole system of streaming live event databases with massive streams of user monitoring across websites --- well, I think it wouldnt be hard to write a law against the latter.
These are political, moral, legal and technical distinctions that can be drawn.