That may be true today but in future, all they need to do is notify you that there has been a change in their privacy policy to permit them to share it with third-parties.

Maybe, but does it pass the test of "Would it make sense?". Ok sure Amazon could make a few bucks by selling the data to health insurance companies but does it make sense for Amazon to do that? Amazon customers find out, get mad and then stop buying stuff on Amazon. Health insurance companies know their customers buy junk food. There's tons of data about buying habits and population stats of cardiovascular disease, diabetes and obesity. Their premiums already incorporate all this. Knowing the buying habits of their customers on Amazon isn't going to be of much value to them.

Amazon has done several manners of shady things. Remember when kept raising prices on products people bought often to assess what individuals would pay? Or how about the way they treat their workforce?

Amazon, and many other companies, do plenty of things that don't "make sense".

Sure they don't sell it, just like Google and FB don't sell their data to advertisers. They package it in a way where they can auction a derived data set (often via advertising) or charge subscription fees to access some version of it.

They don't have to give up the core data asset to be useful to insurance companies in this case. They just have to do something like give people a health score or something similar.