Ever since this setting has existed, Mozilla contributors and employees have told people to enable it, in order to ensure that Mozilla developers have insight into how people use Firefox, to help make Firefox better. While this post will prove my (naive) impression wrong, I had never seen anyone mention that this setting shared data with advertisers.
And yet, that is what Mozilla is telling us.
I mean, if your first action with any new connected device or software isn't turning off all the data reporting, i dunno what to tell you. Do it, I guess.