Some activity trackers have GPS built in to aid in tracking location of your activity. Both Fitbit and Garmin have models with this capability built in - Garmin has had the capability for a while, while Fitbit introduced models with the feature more recently.
Having a GPS receiver does NOT mean the device can share your location. The activities (steps, activity duration, location, heart rate, etc.) are stored on the device. The device requires a companion "smart" device to sync activities with the cloud (i.e. accounts on Fitbit or Garmin servers).
This is commonly done by pairing the phone/tablet/computer with the device via Bluetooth. If the device is paired with a "smart" device, the app on the phone/tablet/computer can pull activity information from the wearable. At that point if the "smart" device is also connected to the Internet, it can share the activity information with whatever cloud service there happens to be. In most cases, the user is required to manually sync the devices - BT operation is a larger power draw and is not commonly in use during an activity. Other use cases can be created for periodic sync of data, but this is commonly not the default.
These activity tracker devices are small and have a relatively small battery. Power required to "phone home" directly over the Internet from the device (via cellular service) would certainly limit the run time and hence usefulness of the device. There are "asset tracker" type devices out there that do offer this capability, but they currently aren't in the wearable space.
I don't believe for a second the Fitbit device in this case was "pinged". If they have her phone and walk around with it, the Fitbit may automatically pair with the phone when both devices are in close enough proximity (this is an assumption on the Fitbit pairing operation). This would also imply law enforcement has her phone and could unlock and use it in this manner for this purpose. If the Fitbit is lying somewhere, it's not capable of sharing its location on its own.
Law enforcement can certainly get the Fitbit data to analyze her preferred running routes and see if there is a pattern to her preferred activity time, etc. I can imagine this would be helpful info when talking with witnesses or corroborating witness accounts. The can also possibly piece together where she went in the area - a location she would frequent that may not be well known to family or friends for example. Not speculating this is the the case for this person, but sometimes people have secrets that this data could reveal. Also depending on the last sync of the device with Fitbit services, they may be able to establish her whereabouts and have a better idea of when she went missing - was it in the evening or the morning of the following day? All this does depend on when the last sync with the "smart" device took place and if it shared it with the cloud services.
