A problem I can see with that approach is that code that is served from the content server would have to do browser fingerprinting before ads can be auctioned b

A problem I can see with that approach is that code that is served from the content server would have to do browser fingerprinting before ads can be auctioned by the ad network. In the current setup with third part tracking cookies, the ad network sees individual users. If you route everything through the content providers servers, then the ad network may have to work a lot harder to figure out who is who. And the ad networks have no incentive to do so (at the moment)