This particular setup can/will leak cookies set on foo.tld to ads.foo.tld which leads to security concerns - only in your specific example though. If you were to use www.foo.tld and ads.foo.tld then you're good to go. While it is possible to carefully setup cookies that do not leak, its something you need to be careful of when recommending. That said, I do agree with your premise and wish native ad hosting like this happened much more often.
Reading material: http://erik.io/blog/2014/03/04/definitive-guide-to-cookie-do...