Tracking Prevention is protects your personal data
Here’s how Microsoft describes their security feature:
Tracking prevention is designed to protect you from being tracked by websites that you aren’t accessing directly. Whenever a website is visited, trackers from other sites may save information in the browser using cookies and other storage mechanisms. This information may include the sites you’ve visited and the content you’re interested in, building a digital profile which can be accessed by organizations to offer personalized content when visiting other sites.
This is a very useful option that will allow you to preserve your online footprint. Furthermore, your personal data will not be shared with websites that are accessed indirectly.
You will find Tracking Prevention in Edge‘s settings, under Privacy and services. You will also find 3 levels of protection: Basic, Balanced, and Strict.
It’s worth mentioning that the feature is now enabled by default in Edge Canary and Dev builds, but you can always go to edge://flags page, search for Tracking, and enable it or disable it from there.