Per your specific harm:
Thank you for actually responding with a real potential harm, the first time ever in 10 years of posting similar comments on HN!
Weight loss ads (along with teeth whitening ads) are much more common with non-targeted ads, by the way. When ad targeting is bad, the only profitable ads are low hanging fruit that applies to as many people as possible.
That said, I would totally support regulating weight loss ads to only things that are proven to work though. I think other categories like gambling are also under regulated.
And beyond that, of course there is potential for harm if data is collected for targeted ads. It might be increasing the price of your flight because you've been looking at the target country several times in the past weeks. It might be canceling your insurance because you googled for headache medicine. Or it might be marking you as a person to be deported into a "reeducation camp" because of your heritage or religion thanks to data that was involuntarily collection about you (originally without evil intent, even). Most of these already happened in reality.
I see where you come from, but that data shouldn't be for sale.
Regardless of the fact that it may be valuable for some third party, if I have not given my consent, that should be enough to instantly ban any storage and processing of it. This should be the default. At the very least, we, the people being profiled, should be part of the conversation.
But we failed at forecasting what profiling and targeted ads would become, didn't properly regulated them, and now it seems that every marketer expects to get their hands on everyone's data, just because it is valuable for their businesses.
While there may not be current and widespread harm, although that is debatable, the default shouldn't be letting companies syphon data and build profiles about people without consent.
And quite honestly, I don't care if a business burns to the ground as the consequence of unethical behaviour. It should happen more often.