It can at least be confusing and there might be conflicts. I'd recommend turning off the built in tracking protection if using other tracking.
They might have fixed the particular issue, but at one point I had stupidly enabled "strict" tracking protection and used that with uMatrix and found that it broke something major (I forget what, maybe reCaptcha) even when the internal tracking was disabled on a per-site basis. Very confusing and unnecessary to have the internal tracking protection if you already use a blocker.
