The less an entity that sells you a service knows about how much it is worth to you, the better. By all means use some kind of conversion tracking. There are pleny of inexpensive 3rd party tracking systems.
There are other ways to measure conversion.
I won't ever use a conversion tracking service from the advertising provider, and encourage everyone I run into not to do it either. Among the security/privacy concerns, it ELIMINATES your power to negotiate and/or demand better service. I spend $12,000 a month on AdWords alone - if Google knew how much of a profit I turned from that, they would be sluggish to respond to anything that was above and beyond the normal scope of support. How could I possibly convince them I would stop using their service if they knew how much I grossed from it? Their attitude would be "Well, I see that you've made $XXX,XXX this month - you're telling me you're going to throw that away over <insert mundane request>?"
Never give the places you're advertising the upper hand. You can't really negotiate "rates" with a PPC, but you can negotiate percentage discounts and extra services. And for other non-PPC sources that offer conversion tracking and you could negotiate a lower monthly rate for the ad space/link/whatever ... but if they see how much money you're making from the ad, they're less likely to budge.
The benefits of conversion tracking are strictly THEIR OWN - any decent web stats service can do this for you.
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