This sort of used to be true and mostly isn't today. Firefox and Edge both have reasonably good tracking prevention features. They rival Privacy Badger in effectiveness (it's largely moot these days), and the only thing between tracking prevention and ad blocking is that the latter also focuses on protecting your poor innocent eyes from advertising, which I mostly couldn't care less about if the tracking is being defeated.

I think if you are extremely narrowly scoping well-trusted ad blockers, you may be okay, as long as you understand you are trusting the ad blocker with your banking info. But it would be far better for a browser to include capabilities in first-party and eradicate extensions altogether.

A Pihole is also far safer than an adblock extension, because it can't see your decrypted your web traffic the way a browser extension can.