There are various reasons why (some) VPN are blocked. These reasons are usually connected to protecting a business model, but are not that much related to ads. They are also not explicitly directed against privacy-sensitive users, this is more an unintended side effect:
- Some sites block VPN because they are used to bypass geograhic restrictions. This is relevant for sites which offer content, which should only be available in specific geographic locations, typically because of license or copyright issues.
- Some sites block VPN because a disproportional portion of malicious users are using a VPN to attack the site or grab contents with bots, while hiding their real origin. That innocent users are affected by such a blocking is an unintended drawback. But since this only affects a small part of users and maybe mostly users which wont bring any business (like clicking on ads) anyway, the loss is acceptable.
There can be exceptions for specific VPN or proxy services which are known
to play nice, like help to block malicious use or don't allow bypass of geoblocking. Or widely used VPN which are known to have mostly innocent users and where accidentally blocking such users is not considered acceptable loss of business.
... VPN services that serve privacy
There might be a misconception here what VPN actually offers. It (partially) hides your real IP address, but that's all. The majority of the privacy problems are not coming from knowing the clients IP address, but from profiling the users using a variety of techniques - and IP address is usually not one or not the major one of them since it will often change for most users.