In Custom Clean, and in older versions of CCleaner before Health Check, items found in the "Analyze" phase that have potential privacy implications are broken out separately into Cookies, Temporary Internet Files and Download History - but with no real guidance as to why you should care about each group, other than the amount of space that they are taking up on your hard drive.
In Health Check, all of these items that can be used to reveal your history of online activity are grouped together in the Privacy section and collectively referred to as "trackers". Cookies are used by websites to track your activity, but the Download History and Temporary Internet Files can also be used by anyone with access to your computer to see what websites and what specific web pages you have been on.
If you are concerned about some of these but not others, you can select or deselect the components as best suits your needs.
If you are new to Health Check, but have used older versions of CCleaner, the tracker count may be much higher than what you are used to seeing in the past, because of the inclusion of these extra items. But a high count is certainly not a cause for alarm, especially since even after cleaning, your count will fill up again quite quickly as you start moving around the internet.
You do not need to continuously run Health Check to try to get your tracker count to zero. But a Privacy Clean with Health Check once a week is certainly good practice.