The primary reason you don't find social media sharing buttons on Wikipedia is they violate the Wikimedia Foundation Privacy Policy by loading you up with third-party tracking cookies.
The second reason is they are ugly as sin and most of the community hate them.
A distant third reason is you then have an argument about neutrality and inclusion - which sites do we include and why. Which is an argument nobody seems keen on having given reasons (1) and (2).
No, they can still set cookies for their domain. These got loaded on every request to a button. It's probably not too far fetched to assume that they can correlate that data to your identity through various means. http://www.nikcub.com/posts/facebook-re-enables-controversia...
I wish more web designers would think of the privacy violations they subject their users to, rather than just their own page impressions.