Yes. Not because you're doing anything wrong yourself, but because the cost to the user of allowing third party scripts is too high to tolerate nowadays.

I think so. A few days ago someone posted something [1] about how they use their own sub-domain to alias CDNs so they can simply update DNS records to easily fix issues with a CDN site suddenly moving or disappearing. I argued that this breaks any chance for content to be pre-cached before a user visits your site for the first time but I walked away convinced that this one-of-many use cases for CDNs isn't all that useful in practice. Alias real content providing CDNs all you want, but if you want to alias an ad network to get around my proposed rule, then you risk your entire domain getting blocked by the likes of uBlock Origin.

I'm not an expert in any of this. I'm not even remotely sure what I'm proposing is possible or would be effective. I just want to start a conversation because I know what I don't want and throwing ideas out into the wild is better than staying quiet. I know I have no interest in giving up any privacy for a potential few seconds saved on load time for a site I'm not sure I even want to visit in the first place. Load times should be the burden of the site owner. Ideally that would be optimized by serving only what is absolutely necessary to get me to the thing I wanted to see. Not that plus the 10 other things you and/or third-parties decided they deserve to serve and hope my machine has pro-actively pre-fetched so I don't perceive the shit-show going on behind the scenes. Given all the details of how this stuff works, I don't think most users would volunteer for it either.

[1] https://news.ycombinator.com/item?id=16372902