When it comes to user data, you need to assume that everything you use tracks data.
For exchanges (or any business) it is buried in the terms or user agreement somewhere.
But no one ever reads those, so most people don't know any better.
Data gathering and selling has become one of the most valuable commodities in the world now.
It's a trillion dollar market and no one even realizes it.

So yes, they make money from our data.
But, you shouldn't underestimate how much money they make off of fees.
In the case of changelly, it is the biggest swap exchange out there.
The trading volume is HUGE