Re: why it works
Or alternatively, because it's what we expect.
I was brought up in the Cold War era, and as a child enjoyed thrillers. The protagonists would routinely find their offices, hotel rooms, etc bugged, or be followed, by the villains, and sometimes vice versa (yes, the goodies did it too). So while I knew that I wasn't such a high-value target that some evil spy would be watching and listening, I never had any expectation of privacy.
Surely that kind of thing is very widespread (especially if we include those for whom God sees everything/Santa knows if you've been good/etc), and it makes anonymised (or at least identity-agnostic) tracking for non-threatening purposes like advertising look entirely benign in comparison!