If you allow the site's ads, you are also allowing the ad network they use to track you.

The point of this browser is to factor out random third-party ad networks. If you elect to see ads on the site, they are presumably served by Brave. The site still gets paid (so it's not like the ISP's replacing ads on the fly), but you don't have to worry about unknown trackers following you around the internet and putting a strain on your CPU.

Whether it will catch on is another question...