You're comparing incomparable things. Serving a web page in an unsecured environment is an obvious security problem, but completely unrelated to whether you have written a native application in HTML+JavaScript or something more traditional like C.

Would the C version of your native desktop app download code from an online ad network? Then it is just as problematic as a web app in an unsandboxed browser. If the C implementation of your desktop app wouldn't do that, then the HTML+JavaScript implementation of the same application shouldn't either, and there is no problem.