High tax on ad spend would be a throwback to our Christian moralist days where we decide that some spending is good spending that we like and other is bad spending. Most attempts to ban payment for boosting speech have failed, see citizens united.
These days, sin taxes like those on soda are often not motivated by religious concerns, at least in the US. They're taxes on goods or services that are harmful to individuals or society.
Of course, there are arguments around the externalities of all of these things. I view most of those arguments as society contextual (people don't like others smoking, so it is an externality) as opposed to something like carbon which would have a negative externality regardless of this societal/cultural context.
I agree with you here and find the obsession many people here have with advertising weird. Still, alcohol pretty clearly has a negative externality "regardless of societal/cultural context." The consistently high percentage of vehicular deaths, assaults, rapes, damage to developing babies through FAS, and so on are all largely borne by people besides the drinker themselves.