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.