Facebook say that they don't listen to conversations, and I'm pretty sure that includes Messenger (although how far you trust them is up to you). They certainly do accept targeted ads from other sources - if I look at something on Amazon, Facebook often starts showing me Amazon ads for similar products. (Including the time my wife used my Amazon account for a bit of bra shopping
)
It may be that some ad service noticed that a percentage of people of a certain age, and who watched that program, have searched for Rupert the Bear in the last few days (because they had the same thought) - that's exactly the kind of pattern they're paid to spot.
The big voice-control providers (Siri, Alexa, Bixby...) almost certainly listen for advertising key-words for their "selected partners". If they do it should be mentioned somewhere in their terms and conditions, though it's likely to be buried. Since GDPR, companies' small print includes some detail about what information they collect, and some of it is surprising. For example, Facebook notes the name of every app and
every file on any device its app runs on. My 'phone uses Bixby by default and it took some effort to disable it.
On the plus side, in the 7 years I've had a smartphone, the software has become more privacy-friendly: it's now possible to tell it to "ask every time" when an app wants to use the microphone, for example. My newish TV accepts voice commands, but only while a certain button on the remote control is held down. So I think people in general are becoming more aware of the possibility of being listened to, and the big companies are at least trying to look like they aren't spying.
Everyone's ghast should get a good flabbering now and then.
--Ole Boot
