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.
Keeping all of the data under one company umbrella is vulnerable, target for hackers, and easy target for governments.
Your post is not correct.
This part of your post is also not correct. What company knows everything about you? There's insurance companies, credit card companies, social media companies... they all have a substantial amount of info about you but they don't all collude to aggregate it.