It's their property.
A website (or app or whatever) is downloaded to my machine and then executed. So all this stuff going on behind the scenes is doing so from my property, using my resources.
I wasn't referencing intellectual property. Re-phrased: "It's their premises."
For example using an adblocker on my PC while viewing a website is perfectly legal. Same with scripts that interfere with tracking.
Now, if I go to the physical store and remove posters and cameras, I bet that will lead to some more resistance.
Websites are just some data and code that their servers send to my user agent. Once it's in my computer, it's under my control. Executing code and rendering elements are privileges and they can be revoked in case of abuse. If it's important enough to me I'll reverse engineer the website and write my own code to do what I want with zero foreign code execution.