Of course they can, though. Are you surprised that to see data on your phone (such as images/text your friends share with you and nobody else), your phone needs

Of course they can, though. Are you surprised that to see data on your phone (such as images/text your friends share with you and nobody else), your phone needs to be able to pull that data from the Facebook database? How else is it supposed to work? If your phone saved it or your provider saved the data in a server somewhere without your permission and used it for other purposes, that's a pretty big deal. As it is, this should only be a shock if you have no idea how the modern internet works.