That only has an impact where you have a monetary relationship with the site directly.
With somewhere like el Reg, how do the writers get paid? Remember, it's the *advertisers* that pay their wages, and its the advertisers that have their 3rd party domains serving up ads. You could do some proxy stuff, where el Reg acts as a MITM between the ad server and the reader, but that would cost a bunch of resources that are currently unnecessary - not to mention potentially falling foul of some privacy laws and defeat many ad blockers.
You say you don't want to give your data? That makes you *substantially* less valuable as a reader to advertisers, and the
writers company paying the writers gets paid accordingly.
All in all, not allowing 3rd party assets currently breaks a lot of stuff (CDNs, embedded YouTube vids etc)
That said, I largely agree with you. I feel there should be mechanisms for specifying which domains are in use for *code* and which are for content - Think NX-bit but for browsers. Email clients (should have) learned years ago that arbitrarily loading/running remote content is dumb as hell.
Web browsers need to be a lot smarter. Same-origin policy was a good start. Maybe specifying a whitelist? We are already bombarded by "please enable notifications" pop overs on lower quality sites, having 3rd party JS disabled *by default* would force web folks to be a lot less obnoxious about what they throw at us.