To protect your privacy and shield yourself against 0-days and malicious advertisers, an adblocker is an important part of your security stance.
The FBI, NSA, CISA, and UK National Cyber Security Centre all recommend adblocking as a protective measure.
You'd never disable your firewall or antivirus because a site asked you to. NEVER DO THIS WITH YOUR ADBLOCKER.
That's the only pertinent point here. Everything else is noise.