This applies to any program which downloads ads from the
network at runtime. Serious problems with this:
* We don't know what ads might be displayed and whether we would
think them inappropriate, offensive, legally risky, or whatever.
* Downloading ads at runtime is a security risk: it exposes the
software which has to display them to a very wide array of actors.
This is a bad idea (and one reason why you should run your web
browser with a good adblocker).
* Downloading ads at runtime is a privacy violation, because it
allows the ad server to see who is using the program.
(This is the concern mentioned by Simon.)
If ZZZ (hypothetical program/package) also contain video ads, such
ads must be downloaded at runtime, which can cost more bandwidth
than traditional (image) ads. Although more engaging, it can eat
up system resources if too many ads are in the program.