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(I used to work in this area, but my knowledge is ~4y out of date)