An important difference between buying ads on 400k sites and 5k sites is the margin for the middlemen. The money is going to get spent anyway, so the middleman needs to optimise his take.

The bigger the sites; the more leverage they have over middlemen. The lower the fees exchanges/ssps can collect - for big sites (ones people have actually heard of) the fee is effectively zero, and are needed by exchanges as loss leaders to attract any demand. Little sites with no leverage will expect to pay around ~70% to the middlemen (although not all of that will be disclosed).

True story: about 250 domains will get you above 98% of online population in most countries. This is plenty large enough for dvertisers to do all kinds of fancy targeting and optimisation within this pool.