I've only recently experienced this, as Alicia says, it's a new policy Google has placed on its browser. However, like Kyugima says, there is not threat, otherwise prior to this policy, you would have had problems with the site. However clicking the ads could cause possible problems, but that is your own fault if you fall prey to ads, same as any other site or forum.
Basically, hitting "Load anyway" will not do your computer any harm.