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EB
Yes. Your client will use the web view within the app to visit the site and read the metadata to render the preview. This is super in Facebook's interest as when that happens any tracking on the remote website (and e commerce will have a lot) can now identify you. Once you open another app, i.e. Instagram, Facebook can then check in their servers to correlate the tracking identifiers and show you an advert, etc relevant to the link previews in the private conversations.
Link previews area a bad idea.
What I do on here for embeds is just rewrite the URL rather than visit it, and then embed only an SSL version of a remote page choosing a nocookie version if one is available (YouTube)... Precisely to prevent too much leaking of who you are. I also break some policies,i.e. eBay affiliates are supposed to have a tracking cookie set but nope... I won't do that stuff.
I like signal for giving you a choice on link previews but defaulting to off.