Why it is the strongest asset you own
First-party data describes people you have an actual relationship with: customers, subscribers, visitors, enquirers. It is accurate in a way third-party segments cannot be, because it is observation rather than inference, and it is yours rather than licensed.
It is also the foundation for the derived audiences that work best on the platforms — suppression lists so you stop paying to reach existing customers, and lookalike modelling that finds people resembling your best ones.
The caution worth stating about lookalikes: they inherit every bias in the seed. Modelling on existing customers reliably finds more people like existing customers, which is not the same as finding growth, and for a business trying to enter a new segment it can be actively counterproductive.