I'm not a fan of it, nor all the variations of invasive ads that are sold[1]. I get the sentiment of what you're saying, but reality is a bit more nuanced than that, and there's a lot of legacy and business reasons why it happens.
Using ad exchanges means that you always have ads available to make money from. When our ads team doesn't sell an ad directly, it'll go out to the ad exchange and get traded algorithmically.
If you're going to use display ads, you have little choice but to use an ad exchange, and no ad exchange is set up to not have content run from a third party - they simple haven't or don't care about the disadvantages that you or I see from running third party content. That industry just isn't as 'progressive' or modern.
Thankfully though, media and publishing companies (or at least the one I work at) are starting to become more away of the problems of relying on display advertising, and are starting to rely on them less and use other forms such as sponsorship deals or video ads[2]
[1]: Like this obnoxious wallpaper ad http://i.imgur.com/IPVAVwx.jpg although this is actually one of the better ones.
[2]: A 'new' tech is 'server side ad insertion, where the video is inserted into the video stream on demand on the server. Pretty cool stuff https://www.brightcove.com/en/once