What's bad is losing control of the software running on one's system, not necessarily the content of the update itself.
[1] https://betanews.com/2017/04/10/disable-ads-windows-10-creat...
The lock screen ads only show when you use the daily Bing images. You can either set your own lock screen image, or click "I don't like this image" and keep doing that every time an ad image shows.
Also, I believe some of the pre-installed bloatware have ads (Money, Food, Weather, and maybe others).
I did turn off "Get fun facts, tips, and more from Windows and Cortana on your lock screen".
There's also a ton of garbage pinned on the start menu by default (which I've also removed), but I'm not really sure it qualifies as 'advertising'.
These are all forms of advertising couched as "helpful tips", with the goal of encouraging me to use products that I'm not already using.