The reason that this matters in terms of tracking is readily apparent after using default deny mode. It's amazing what percentage of the internet uses Akamai, Amazon, CloudFlare and the like to serve simply their CSS. It's also incredible how many major websites will not host their own copies of jQuery, but pull from jquery.com directly, or how many websites use ajax.googleapis.com. Even if you block the Javascript tracking of Facebook like buttons, the image might still get pulled off their servers. There are many other cases of this, but basically every major website now has your browser pull from some sort of shared domain that a large portion of the internet uses.

Honestly, once you hit the internet, from a tracking point of view, you are fucked. Your ISP is tracking you, connecting your modem with behavior. So you would need to use free wifi and change locations... except then we only need to connect times and security camera footage. This should be its own thread as running down the paranoia hole is fun and creepy.

You use adblockers and script blockers not to stop tracking, but to prevent malware and virus infections. And reducing exposure to advertising in general makes you happier in the long run.