neowin[.]net/news/microsoft-is-reportedly-allowing-malicious-ads-to-be-served-on-bings-ai-chat/
bleepingcomputer[.]com/news/security/bing-chat-responses-infiltrated-by-ads-pushing-malware/
Malvertising is a thing -- since everyone sees advertising online, running ad campaigns linked to malware is something cyber criminals like to do. It's a good reason to run or turn on ad blockers, but they don't help with ads that show up in search results online. So the problem isn't unique or new to Bing Chat, though the way the chat interface is designed in Edge makes it more difficult to see that a link is to an ad rather than a genuine search result.
ALWAYS take a good look at links before you click, so you can avoid links marked as ads.