Implement Intelligent Tracking Protection (ITP) as in Safari, or equivalent protection
A user-agent should act to protect its user's best interest. ITP is a sensible compromise between no privacy and ad-blocking since it enables advertising without abandoning data protection. Since there is no existing standard, Edge could experiment with an approach different from ITP, but it's a good starting point (and does not break the Web).
Šime Vidas commented
Safari has ITP, Firefox has Tracking Protection, some other browsers including Opera, Brave, and UC have built-in ad blockers that also serve as tracking protection. Edge should do this.