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To my knowledge, this 2020 Forbes article provided evidence for the first time that a firm who sells surveillance tech to governments was running its own DSP to harvest personal data from RTB bid requests in digital advertising. There was not a lot of detail, but it has been a known issue for years:
https://www.forbes.com/sites/thomasbrewster/2020/12/11/exclusive-israeli-surveillance-companies-are-siphoning-masses-of-location-data-from-smartphone-apps/

Of course, it's ridiculous to believe that only 'Western' state actors would access RTB bidstream data. I'm sure several state and malicious actors do.