Not so big a deal?
"Talk to Alexa about something, the academics found, and the auction price for related advertising opportunities goes up."
Why was any research required here? Assume for the sake of argument that Alexa works exactly as advertised - no false activations or sending your conversations to random people or anything like that. It's essentially just a speech-to-text device. Instead of going to Amazon's website and typing in "I would like to buy some ham", you just shout to your living room "Alexa, I would like to buy some ham". Now Amazon knows you are interested in buying ham. First, they return search results (vaguely) relating to ham. Then, they pass this information to their advertising system so that you can be targetted by people attempting to sell pig products. At no point is the input device used particularly relevant, other than possibly as another data point for potential targetting.
Obviously if you don't like the very concept of targetted advertising, this is a problem. But the point is that Alexa isn't doing anything different. If you are happy searching Amazon for a product, Amazon will use that search to target you with adverts. Whether you use your fingers or mouth to enter the search terms doesn't change how the process works. So why is it supposed to be a surprise, or even particularly interesting, that Amazon uses information you've given through Alexa? Of course they do, and they use it in exactly the same way as all the other information they've collected about you. These researchers haven't revealed some shady shenanigans Amazon is getting up to, they've just confirmed that yes, targetted advertising is a thing that exists.
Personally I haven't used Amazon for years because of precisely this sort of thing. But if you deliberately buy a device that exists solely to give Amazon information, and then you use it specifically in order to give Amazon information, you don't get to be surprised that they are, in fact, collecting and using that information. If you go out of your way to tell Amazon you want ham, then next time you visit them they will sell advertising space to ham-sellers. This is not new information, and has nothing to do with whether you use Alexa or not.