They do, though. They purchase data sets from people with licenses, use open source data sets, and/or scrape publicly available data themselves. Worst case they could download pirated data sets, but that’s copyright infringement committed by the entity distributing the data without a license.

Beyond that, copyright doesn’t protect the work from being used to create something else, as long as you’re not distributing significant portions of it. Movie and book reviewers won that legal battle long ago.