This is what Cambridge Analytica (the one that illegally profiled Facebook users to help Donald Trump) says about Brave:

When you browse in Brave, the browser locally records your attention—which ads you view, for how long, what you click. This data never leaves your device in raw form, a feature Brave emphasizes repeatedly. But then it gets converted into tokens that represent your interests and behavioral patterns. These tokens are sent to Brave’s servers, where they’re matched with advertiser demand.

This is also what the Mozilla advertising network claims they do.

But Brave claims their ad network is truly private, while Mozilla's is not. I don't know if that's true, but it is true that Brave doesn't enable their ad network by default, and Mozilla does.

Either way, remember to disable the ad network.
And consider writing Mozilla a polite letter about turning it off by default.