On the Session Replay feature - "This isn’t the same thing as general analytics tracking, which is aggregated and anonymous. The research shows that highly personal data like credit card numbers, health information, addresses, and more is likely sitting in third-party servers–and they could even be tied directly to your identity."
There's a lot going on in the background when you visit most websites. Scripts may be providing analytical data about what you click on. Trackers may link your activity back to your social media accounts. In fact, one type of script allows whoever owns the website you're perusing to literally watch whatever you're doing.