Generally, it seems that no-one should be concerned. Independent checking has been carried out by other storekeepers and, yes, those shortened links do contain your rf id.
The only problem appears to be with Zazzle's new short links and pinning to Pinterest. Until it's cleared up / resolved, if you want to be sure your rf id is being included when you pin, use Nifty's individual product pinning tool.
This is what it looks like in use:
Set it up for your store and rf id like this:
This is where you choose that you want to do pinning of individual products:
Open the set-up screen at the right spot by clicking this link
You'll be able to see your ref id being used at all stages and it'll be there on your pins when you look at them on Pinterest.
Enjoy transparency :)