To my knowledge, there is no monitoring involved for selecting those links. They have different sponsorship deals per locale, so they show different links when you switch your phone's language, but they can decide that on your device.

For a while, desktop Firefox would select different news articles based on your browsing history, but again, they have your browsing history on your device. They'd be mad to upload all of that just to pick one article or the other. They did also publish a blog post at one point where they explained how all of that worked, so that's not me spitballing, they did actually select that exclusively on-device.

Back to Android Firefox, presumably they do send Adidas the information that someone clicked on this link via Firefox Android, so that Adidas knows how valuable their sponsorship deal is. But yeah, that is fine in my opinion. It's hardly personal information and nothing happens, unless you click the link.

The privacy issues I was trying to remember is that Firefox on Android does not have site isolation. Desktop firefox does (containered tabs by default). Chromium does on Android, not sure about desktop.

Right, yeah, Android Firefox doesn't implement process isolation of tabs. (Container tabs is a different privacy mechanism, which neither Chromium nor Android Firefox have.)
The lack of process isolation is typically deemed a security issue, since it's only relevant when someone tries to do something actively illegal, but sure, the security measure exists to protect your privacy.

I would argue that Chromium is terrible for privacy in many other ways (see e.g. https://github.com/ungoogled-software/ungoogled-chromium/blob/master/README.md ; albeit I don't know how much of that applies to the Android version of Chromium), but if you deem the process isolation to be significantly more important, then that is an opinion to have.