Why?
Browsers already treat all the code that is run by the website as potentially unsafe.
Why would we focus specifically on adds where there are other, equally unsafe vectors present?
What advantages would that have over the current way?
Perhaps because security isn't binary. Browsers should sandbox JS such that it's harmless, but sometimes fail at that. Letting fewer random strangers run JS in your browser reduces your attack surface area.
AND - the owners of the (relatively) few web sites that most people visit are far more invested in staying malware-free, vs. the Ad companies letting ~anyone on the planet run js in ads, at "what's their credit card good for?" scale.