The VPN app installed a root CA on the device and did the snooping locally. It collected statistics about how people used competitors' services and sent that info back to Facebook.
You have at least two parties in any conversation, I don't see where Youtube or Amazon consented, nevertheless, the recording was being done by Meta/Facebook, which was a third-party to the communication.
There are both Federal and State laws against the sort of wire-tapping that Facebook/Meta performed.