Facebook Inc. has spent the better part of a year telling its users, Congress and the readers of this paper that we’re in charge of our personal data and the ads we see. The network has streamlined its privacy settings, shared more details about how data is used and highlighted how its ad controls work.

If we take advantage of all these privacy controls, it shouldn’t still feel as if Facebook is spying on us, right? We shouldn’t see so many ads that seem so closely tied to our activity on our phones, on the internet or in...