Of course it all loads only when the user does not have any adblocking or tracking protections enabled.
The important point is that it's a backdoor for marketing (and adtech) teams to get around developer/security requirements. At some point, someone on those teams gets frustrated that their one-line code requests (just load this script! add a gif banner here!) keep falling behind in the backlog. That happens in part because the product team often doesn't care about marketing, and sometimes because developers know that "just one more script!" paves the road to hell. At some point the third-party that's trying to get their business going through your business convinces the marketing team to add GTM, the marketing team says to the dev team "Hey we need GTM to implement THIS script". This time, because the other side has promised them $$$ in terms ROI, the marketing team pushes really hard for it, and eventually a product manager approves the request to get them off their back. The rest, as they say, is history (at retro time, multiple times down the road).
It is really powerful and sometimes incredibly useful in some scenarios (e.g I once built a schema.org metadata system that scraped the pages on the fly for a site with a broken CMS). Simo Ahava does clever things with it.
But from what I can tell, it seems to be a way of avoiding communication between teams, or a political power grab inside bigger companies - a parallel CMS. And the silly bit is that it's normally not doing much more than could be achieved by copy and pasting a few lines of code into a template.