The reason is simple, it removes your control over your information (to an extent, obviously most site collect internal metrics and logs), right now via browser

The reason is simple, it removes your control over your information (to an extent, obviously most site collect internal metrics and logs), right now via browsers and network filtering you can essentially cut off tracking and ads to (excluding fingerprinting) a large degree because you are in control of your browser and network. Moving all of the tracking and data sharing server-side means there is nothing you can do to stop it other than simply not visit sites that use it and even that isn't so simple because how are you supposed to know if they have implemented server-side tracking other than maybe a vague mention in the ToS or PP?