Personalised ads are beside the point. The issue is how they are personalised, namely by building a rich profile of user behaviour based on non-consensual tracking.
It isnt even clear that there's a meaningful sense of 'consent' to what modern ad companies (ie., google, facebook, amazon, increasingly microsoft, etc.) do. There is both an individual harm, but a massive collective arm, to the infrastructure of behavioural tracking that has been built by these companies.
This infrastructure should be, largely, illegal. The technology to end any form of privacy is presently deployed only for ads, but should not be deployed anywhere at all.
It is safe to assume that all intelligence agencies have taps on ad networks allowing to legally (well, not in EU anymore) collect mass of information on the cheap, which they can then de-anonymize at will by cross-referencing with other data sources.