Everything? Horrible user experience, privacy concerns, malware aplenty, and if it's a device I'm buying it's pretty sketchy behavior throwing ads in it, since I'm not going to know that before buying it or be able to do anything about it.
You have no evidence that the devices would be more expensive. Your only evidence is that the companies would receive less income all else being equal. But what is the evidence that the trade off is your eyeballs instead of your dollars? And if the tv is perfect except for the ads, where do you get the more expensive, ad free version?
You can buy "dumb panels" but they apparently cost more. Some of that is that they're rated for rougher conditions being mounted in public places though. And why can't you respond to me?