There is no difference (other than media) between an ABP filterset and a set of pages custom-cut to fit over a particular edition of a newspaper or magazine and block the print of all advertisements therein, leaving non-advertisement text and pictures visible via cut-outs.
Let's say you obtain said magazine and page-by-age place the "PABP" (paper ad-block plus) "filters" such that you can read the entire magazine without ever setting eyes on a single advertisement. Is this illegal? Immoral? Unethical? I can't see how it is. Doesn't matter if the magazine is sold or given away for free. Once you get it, it's yours and you can look at any part of it you like.
In the paper publishing world, delivery of the "substrate" media (the magazine, newspaper, etc) is exactly equivalent to delivery of the advertising media. They cannot be separated. The advertiser, therefore, knows that his message has been delivered and counts on its positioning and his own unique presentation to make it eye-catching enough that the reader notices.
In the electronic publishing world, some genius decided to separate the advertisements from the content. Where previously it would have impossibly difficult to block the ads (who is patient enough to make a paper cut-out for every page of a magazine and carefully place it so that only the articles' text shows through?), now blocking is only a matter of applying a series of regular expressions. But the same principle applies. Once you've downloaded the "substrate" content (i.e. the pages hosting the advertisements), you are under no obligation follow any of the links. It's YOUR bandwidth, not the advertisers. If anything, the advertisers are stealing from YOU when they download commercial media without your consent.
The real problem is this: Advertisers are lazy. They are faced with a new type of media and are unwilling to invest the time and money to fully integrate the advertising with the "substrate." It's not impossible, and it doesn't have to be expensive. Look at the Hemmingway mock-prose competition that gets held every year. The contestants are required to incorporate the name of the sponsor in every submission, or the submission is disqualified. And for the price of a few trophies and a little PR, the sponsor of that contest gets amazing amounts of advertising.
Unfortunately, really integrating advertising with its "substrate" media takes a lot of thought and effort. So basically it boils down to a bunch of stupid lazy individuals who would rather point fingers at "evil users" than do their jobs. Sorry, fellas. The Whinery Tour starts every hour on the hour. Queue up under the sign with the picture of Sour Grapes.