Not directly related to private messages monitoring and advertisement, but leaders like Angela Merkel have said that the Internet is not "a space that is free from the law." She was mostly referring to legislations that would combat fake news and hate speech on Facebook ( http://fortune.com/2017/01/17/facebook-germany/).

If such regulations can be made, I'm sure if there's enough push, governments would (hopefully) regulate social media advertisement to a certain degree? With that said, there's so much money involved in that I highly doubt that governments can do much or would do much about it...