In my experience, when we talk about 'going out and doing something' we may be informally talking about 'doing something impulsively or without first doing research, fully considering all the implications, etc'.
There is no automatic implication that the doer physically 'goes out' (exits a place), although this may happen.
The implications, as the paragraph quoted suggests, could be legal and practical or financial.
Legal:
Gathering Personally Identifiable Information (PII) is governed by law in many places and using it for purposes other than those for which it was initially gathered may be illegal.
Practical:
The data gathered could be incomplete.
The data gathered could be incorrect.
Any analysis could be suspect.
Data gathered illegally could involve a company or organisation in court cases or regulatory action including fines, which could be expensive and negatively affect the organisation's reputation, leading to reduced business effectiveness in the future, shareholder resentment, etc.
Consider: I talked to my husband about our need for a car, and he went out and bought a $40,000 SUV even though we have a low income and a used 10-year-old Nissan Micra would suit us just as well.