Ad companies are so valuable because not just any company can reach the scale or access of user interactions enough to perform this kind of inference accurately.
Yes you could get precise information but not just from a few sentences said by one user. There's also the quality of information you could previously glean from just unstructured data (noticeably lower)
That's not exactly accurate. Ad companies definitely need to train using large data sets, but they could infer with very little information, and in most cases, "unstructured" and "low quality" data was actually quite helpful for inferences about a user. Just a free form text box where someone was prompted for "favourite movies" (with no validation of the content... you didn't even have to have any movie titles in it) could yield surprisingly accurate inferences about income, education, gender, religion, age, marital status, etc. Ironically it was more predictive than inferring from structured data.
Yes you could get precise information but not just from a few sentences said by one user. There's also the quality of information you could previously glean from just unstructured data (noticeably lower)