True, but in terms of privacy those kinds of ads are mostly a non-issue (and speaking for myself, I'd probably be happy to see them).

If a site is serving ads from their own domain, that's OK. As a pi-hole user I'm trying to block automated ad networks as those are the worst culprits when it comes to tracking and serving malware.

I visit some sites that sell their ad spaces directly to advertisers and create and host all creative themselves. I have no issue with those ads.

DNS based ad-blocking has limitations. YouTube does exactly this, with ads served from the same URL as the videos. It's a better than nothing solution that will cover 95% of the needs of the whole network. For the rest you can add a browser based adblocker, where possible. Or even firewall rules.