For me, its because the open web came first: people posted websites, you request delivery of websites, they send you the page/content, everyone was happy.
Then people started using it to do naughty things. Javascript came along. Tracking cookies. Tracking pixels. Crosssite scripts, etc. Oi vey! But they didn't come along all in one go you see. We kept going to sites, and every now and then we noticed people slipping in little bits of naughty that we didn't explicitly ask for or expect when we visited their website.
So the technical amongst us kept up things as we always did, using the open web, but we just wrote a thing to block the naughty: say entries of particular servers into host files.
Then someone started packaging these things up into programs and lists of all the bad things people were doing on the web, and we realized we didn't have to do it ourselves anymore. So we just set ourselves up with our privacy keeping program, our cookie/javascript blocker, and our ad list, and kept on surfing the internet, just as we'd always been doing for years.
The thing to understand is: i've never seen an ad on you-tube not explicitly because i'm trying to screw youtube over, but because we were here first, we surfed the web, sharing content and when bad players appeared, we stopped/blocked them. Many of us just organically reached this position by taking action against things that made that the web experience worse...bit by bit. People started serving us things we didnt ask for, so we just blocked the scripts and servers for the things we didnt ask for.
It seems to me arse-backwards to ask why we don't block sites that have ads: its because the web and users and authors were here first and then the commercial sites and practices invaded. Why would we co-opt our behaviour and our communication to serve the needs of the immoral, the user hostile, the dishonest and the underhanded? So they can sell things? Oh please!
The web is not here to serve businesses and ads.
THEY IMPOSED THEIR VISION ON US! not the other way around!
I'm not spending my time to individually cater to the whims of invaders of the open web. I essentially just have automatic blocks of bad players and behaviours my computer won't talk to and won't participate in.
/incidentally, my blockers do automatically block a number of sites now. news.com.au is automagically blocked, presumably because its gotten to the point where its content to ads/hostility ratio is so low that asking it to serve up content is now indistinguisable to my blockers from a site being genuinely bad/hostile.
but youtube, etc is free to put up a wall or blocker any time they want to stop serving material on the open web. And if you serve something on the open web and people download it, i have the world's smallest violin here to play for you...