You have two scenarios here. One is the usual, and more commonly, performance and load testing of the actual application server(s). First and foremost, you want to ensure that the application server and infrastructure can handle the demand of the clients. But, on the other hand, you may have a certain amount of third-party interaction with your web site the calls external URLs, such as advertisements. This can impact the overall user's experience, and how the web site displays to them.

Perhaps having two tests, one with the third-party external URLs included, and one with them excluded through a filter. That way you can have both results, one with the overall experience of the client, one with the actual straight demand of the user to the application.

The real issue comes down to testing the actual performance of the application under certain load, and if their are any bottlenecks, and testing for the user's overall experience and if there are any issues there. So, I would suggest test for both, but it is really up to your client and what they want, so long as they understand what they should be testing for.