Because the ad ecosystem has two sides. I used to think my ISP could just magically support IPv6 and didn't need routing protocols or peering agreements, too. (They support it now)

Websites with ads need to satisfy the ad buyers. This means running a bunch of JavaScript that's adversarial to the website and fingerprints both the website and the browser to determine where and to whom the ad is actually shown. It's like a cloudflare bot challenge is happening behind the scenes. Of course all this stuff doesn't happen on the website's own domain, or the website could manipulate it.

And the ad that's originally delivered might not actually be the ad, but might be a script that fetches the real ad from a different server, if the incentives line up that way. Imagine you have a contract to advertise on a site, but someone else wants to advertise on the same site and pays you to forward their ad. Ad margins are razor thin, you'll do this for $0.00001 profit per impression. And your buyer might be doing the same thing to their customer. It's all a huge mess.

Advertisers don't trust websites to display their ads. If a site takes full control of their ads experience and hosts everything first-party I agree it's hard to block (site can keep changing things to thwart the ad blocker), but then it's also hard for the advertisers to see whether they're being ripped off. Which means most won't advertise on the site, and the site makes much less money than if they remain in the current ad ecosystem (even counting that some ads will be blocked).

(I used to work in this area, but my knowledge is ~4y out of date)

This is to an extent why facebook can make the ads harder to block, they control the ad infrastructure (or at least some of it) as well as the app infrastructure.

For many sites that is not the case, running adtech infrastructure is not even close to their primary business and taking the task on individually isn't worth the admin cost. Companies wanting to advertise don't just come along and say “my product is aligned with your content, could I pay for one of your advert slots?” because they don't want to just target the people who are actively looking at relevant content. They want to follow people who look at relevant content around like little stalkers, so the adverts can be put in front of you even when you've moved on to looking at less relevant content - and that requires tracking between sites which a smaller individual site can not do on its own or have the clout to negotiate a good exchange with other sites with.

Most sites are not in business of running ad marketplace. They are in content production and SEO(as in pulling views). I don't think at scale they could operate it would be worth to be ad marketplace. Or would they get the customers(advertisers).