I disagree that ad blockers are going to be a significant help with blocking malware. They’re based around badness enumeration, so if anything isn’t on the blocklist, it’ll get through anyway. With how fast attackers can pump out malware and fake sites these days with the help of AI, you can’t really rely on that for security.
While Safari currently lacks important security like Site Isolation (it’s currently being [worked on](https://docs.webkit.org/Deep%20Dive/SiteIsolation.html)), you can mitigate a lot of security risk by turning on Lockdown Mode right now and whitelisting sites it breaks.
If you want to block malware then Safe Browsing is already built-in so you can just use that. Safe Browsing only sends a small hash of the URL and they now use OHTTP to protect your IP address, although I don’t know if Safari specifically uses this feature since it’s optional for now. Their privacy policy suggests not for now:
The actual website address is never shared with the safe browsing provider. Google (and, for users with China mainland or Hong Kong set as their region, Tencent) may also log your IP address when information is sent to them.
If you use a VPN it shouldn’t be an issue though.