The "video ads" that you refer to aren't ads at all! They're little clips that are purposefully included in the radio playlist. Sometimes they give information about upcoming songs, albums, or artists, or to give little snippets of an artist's biography, or anything else that Spotify deems fitting for the radio station. This helps to make it feel more like a radio station than a streaming radio.
If you don't like these clips, I'd suggest finding your favorite rock artist, and starting a radio station from their name. It will still list related songs and artists in the radio station, without the clips.
As you can see, in the first screenshot, I have the "Rock This" radio station playing, and it includes clips. In the second, I have the "Jack White" radio station playing, and it only has music by related artists and genres, without clips. You can do this with any artist or artists you'd like.
I hope this helped!