Come on, the Alexa devices are designed to do what? They wake up on a keyword, perform some local analysis of the following data, and phone home on an encrypted channel on a regular basis.
You quite literally can't tell by watching one what it is doing. You certainly cannot verify that all Alexas are not doing something.
I don’t think Amazon have a vast conspiracy (that no one has whistleblown on!) of secretly & illegally recording audio for advertising. It would be difficult, require huge amounts of processing, probably not help very much, and be incredibly illegal. It wouldn’t give them much value and would be incredibly risky