Out of curiosity, what kind of forms ask for your ethnicity? Maybe it's because I'm living in Europe, but I've never been asked for that in my entire life, and if I would, I would find it very strange ..
It's very common in the U.S. It's ostensibly done to gather evidence of discrimination. Most government forms require it, and large employers are required to report the racial/ethnic makeup of their staff to the government, along with gender, past military service, and persons with disabilities. California recently added a requirement for VCs to ask the founders they fund their sexual orientation.
People have written entire books on the politics behind how the government comes up with the sometimes-illogical categories into which folks are divided.
In the US, governmental departments and large employers frequently ask for ethnicity on all sorts of forms to help the organization ensure that it is meeting its DEI goals.