Agreed. Possibly because any classification without at least several hundred options is going to be complete BS.
Ethnicity is supposed to mean “the fact or state of belonging to a social group that has a common national or cultural tradition.” . Yet commonly you see “Asian” or “Black African” as options - hardly single common national/cultural traditions!
I think ethnicity surveys just want to know what your skin colour is, but are being coy about asking for it for some reason. It’s the survey equivelent of “but where are you really from?”, in my view.