The problem is that everyone's internet experience is very different these days. Your friends might be boring and actually have nothing in their lives that need compartmentalized/obfuscated. It's unlikely but not impossible.

The easiest way to demonstrate the problem would be when they show you something on an unprotected device you note the ads and give them shit for it. Those ads are likely targeted, and so your jabs would be targeted and personal too. Then point out that those ads are tied to THEM. Just ask every time, "have you been looking at X? Gross dude." It doesn't matter what it is. It's the point that they are uncomfortable with your guess and it's an opening to explain that, yeah it's not just those ads buddy.