Legislation sets normative behavior, even if it is not enforced fully or companies find loopholes. It is simply not right for a free society to have surveillance databases that would make the most staunch Stasi agent blush, and we should work towards the goal of ending them by every avenue possible.
Also how do you propose to kick say Equifax to the curb through individual action? There are many services that don't exist via user consent or interaction, but rather just by purported assent through contracts of adhesion from some de facto mandatory industry.