I will never feel bad about blocking ads on youtube, because they have an effective monopoly on distribution of certain content. But when it comes to music, why not just use something else?

I recommend buying your own CDs (at your local music store, directly from the band when you attend their concerts, or on Bandcamp/Discogs), ripping them, and putting them on the local file system of your MP3 player, phone, your car’s SD card, etc. Sometimes if you buy a vinyl record it comes with a convenient download code, and if it doesn’t digital albums are very cheap on Bandcamp.

I also recommend tuning regularly onto your favorite radio station (mine is KEXP Seattle; and Rás 2 in Iceland) particularly when they have live performance to discover new music.

Piracy.

I have been experimenting with self hosting Navidrome for that purpose.