You can disable to storage of this data on the linked page.
But I'd recommend going to the source: Read the privacy policy of each party delivering data and check if they mention it. I already sent a mail to the DPO of an app provider which shows up in this list and doesn't mentions Facebook in their privacy policy.
I'm not anyone's lawyer. These are questions, not answers: GDPR is about collecting data from you, right? If Site X is sending data about you to Facebook, perhaps that's an issue with Site X's GDPR compliance, not Facebook's?
But I'd recommend going to the source: Read the privacy policy of each party delivering data and check if they mention it. I already sent a mail to the DPO of an app provider which shows up in this list and doesn't mentions Facebook in their privacy policy.