Why does that matter? Why would Apple's technical features to block tracking suddenly stop working just because an app was sideloaded?

Not all of the tracking-blocking is technical, and those parts can't be technical, either.

Comparing Facebook's decision to not side load on Android is not a comparable situation if the incentives to side load are not the same.

If an app finds a way around Apple's user privacy wall, in the App Store it can be pulled.