No, it doesn't make it magically better, there is no magic. But it does make the site accountable for the content they're serving me, instead of saying, "Oh, that's not our fault you got malware, it was the third-party ad network we use." It may not protect me much more than I am now, but it shifts the accountability to the first party I am dealing with instead of allowing them to pass the buck, because I can block all third party requests if I want to.
Would this change any legal basis? I do not know, I'm not a lawyer, but I sure hope we find out.
Depending on implementation it could make correlated tracking across sites more difficult. With an external element, your same browser could be sending the same cookie to the ad service from many different sites. With first party ads, each request will be site-specific.
Before:
Ad providers tell you to throw an external element in your page to display an ad.
After:
Ad providers tell you to add a library to your code directly that pulls down ads and serves them front the same place your site comes from.
This doesn’t magically make the website selling advertisement space aware of what code they’re running on your browser via those ads.