There are multiple big advantages, but it's also kind of necessary to really block ads.

When a request is made to an ad location, you know exactly what it is. Once the ad has been injected into the DOM, you need to find a good heuristic that determines "this is an ad". This is very complex and can be easily circumvented by the developers. If uBlock started doing that with filter lists inside the extension, ad blocking would most likely fully stop working, since ad networks could really, really easily react to updates and slightly change their approach. This would also lead to many, many additional false positives.

And that's not to mention the unnecessary traffic and so on. There are good reasons no current ad blocker works like you describe.