It's generally delivered by third-party sites who take NO responsibility for the content, and sometimes that includes "drive-by malware." Ad-blocking isn't just stopping annoying ads. It's self-defense to avoid getting your machine compromised.
As a side-issue, it may not matter, since Windows 10 comes pre-compromised with Microsoft Genuine Spyware®.
The data is out, freely available to world+dog, and dealing with the damage is pretty much like trying to stop a tsunami by throwing spitballs at it.
If anything, the Streisand Effects from the bogus notices will make the damage worse, but try and tell that to a bunch of panicked non-technical executives who are watching their lives circling the drain.
Back in 1992, the SciFi channel (now SyFy) started, and dear, sweet Comcast offered me a five channel bundle with that and four other channels, none of which were worth spending thirty seconds on, never mind the $30/month fee to watch ONE channel. I was snottily told by their customer service that it was the package or nothing.
I chose nothing, canceled my account with them, and haven't regretted it for a minute. In fact, about ten years ago, the installed cable had rotted out to the extent that I threw it in the garbage where it belonged.
About the ONLY thing Comcast does for me these days is provide fodder for the paper-recycling bin.
Nice to see the rest of the public is catching on.