This is becoming more difficult as Alexa services are being built into more and more consumer goods. I've seen microwaves, thermostats, headphones, clock radios and more with Alexa inside.
Or use an Amazon device but opt-out of this shared service.
I know this is cynical of me, but it’s 2021, and I’ve read enough apology emails from companies saying “whoops we didn’t mean to exfil your data, so sorry!” to know that this checkbox only means “don’t exfil my data right now.”