Think of all the free apps: I was in a conference with startup founders bragging about the business they make selling the location data of app users by incorporating some third party libraries in their apps without the users knowing. Of course, everything is anonymized, is it?
Add-supported websites on the other hand have only to document what is going on and get the consent of the user. That's a simple notification bar with a button, like the cookie notice, plus a page detailing the privacy policy. The GDPR even mentions legitime reasons for collecting, storing and transmitting personal identifiable data like technical or business needs. And in addition, almost all ad networks are going to anonymize IP addresses by stripping some bits and have opt-out features for being profiled.