A Reddit user Reeceeboii_ highlights, any time you share a song from within Spotify, it generates a unique tracking URL linked to your account. Spotify can join the dots between the sender and receiver whenever anyone clicks on this unique URL. People have allegedly noticed that Spotify has retroactively filled out the history of song shares in the Messages feature, which is possible through these tracking URLs.
Why the fuck does Spotify need a messages feature in the first place? Who was asking for this?
Surprisingly many people, as Spotify first launched with such a feature before being removed many years ago.