There is no guarantee adblocker will save you from malvertising, but generally they do a good job of blocking access to reported suspicious sites.
However, an adblocker will greatly reduce the number of intrusive, annoying ads - and thereby make your browsing faster and your online experience better. If one of the blocked CDNs happens to be serving up malvertising, well then it has protected you there also.
I say yes - an adblocker is a fundamental part of a security config.