It’s new-ish – the feature was officially implemented last year
Yes, you have to let them appear. You can also close them as soon as they appear if you’d like. Taken from the FAQ linked above:
In the initial Brave Ads release, users receive BAT for viewing the ad notifications. In future releases, users will be able to earn additional rewards for engagement events within the ad tabs. Brave does not reward users for clicking on the notifications. Brave’s position is that users should only click on ads that they have a genuine interest in engaging with.
The Ads served to you are targeted by a privacy preserving algorithm that will find ads that it believes are the best matches for you. You can read more about how the algorithm matches users with ads while maintaining user privacy/anonymity here: