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There is a really good privacy feature on Mastodon and the rest of the Fediverse:

When you post a link on Mastodon etc, it remains exactly as you posted it. There is no analytics or tracking going on, no one is monitoring clicks on links.

By contrast, on Twitter/X and Bluesky the links people post are redirected so clicks can be monitored. We don't know exactly what Musk or Bluesky do with this info, but they do it by redirecting all links to sites they control (t.co & go.bsky.app).