Radio and TV were "passive" mediums where broadcasters were in control and audiences passively consumed what was offered. Ads were included. Web has traditionally been more interactive. Users had control of what to consume and when, through specific, focused (HTTP) requests.
No web user intentionally requests ads. Think about this.
The user requests a specific resource.
Then how is advertising being "included"?
Answer: Popular web browsers load resources (ads) automatically, by default. Requests for ads are made by the browser, not the user. Companies that sell ads write these browsers and try to dominate the "browser market". Other web browsers (that might avoid loading ads) are discouraged. Web developers take advantage of the popular browsers written by ad sales companies to manipulate the pages users request, filling them with ads.
Going back into the history of the www and browsers, the intent of auto-loading resources may have originally had nothing to do with advertising. But today, it has everything to do with advertising (and tracking).