In the example you gave, I have the opportunity to interact with this third party, demand to know why they're there, and may choose to leave, with my privacy in

In the example you gave, I have the opportunity to interact with this third party, demand to know why they're there, and may choose to leave, with my privacy intact, if I don't like their presence. This is all part of the process of informed consent. Clearly this analogy, particularly with respect to "informed" and "consent", does not apply to a Facebook widget on a site.