Its preloaded - but you haven't played it yet. They might add the extra info at the last second (as they seem to have done in the game box). As for it being illegal, its probably not. Even though they store a unique ID for you (this is the part that is borderline), everything else is anonymous. They don't store personal information about you, hence they aren't breeching the data protection act. If they could match the unique ID to your EA account, then that I'm pretty sure would be cause for a court case. However, the fact that they store a unique ID for you is definitely borderline, and imo wrong. I'll attempt to find where the unique ID is and make an app to clear that every time you run the game. If the ID is the same each time (not different, as a GUID should be) then its clearly identifying YOU rather than just 'a user' and therefore is illegal and even against their own disclaimer that says its anonymous.
The EA advertising software does NOT check your web browser, cookies, or the general state of your PC. Its contained entirely within the game itself, covering things like what angle you looked at an advert, how long, and what the advert was. This is essentially the same as normal Internet adverts, tracking views & clicks.
Maybe the paper was added at the last minute because the US doesn't have a data protection act, but the EU does? It was all above board until they suddenly realised it wasn't so above board over here and had to act quickly.