GIF is only 256 colours, so the renderer optimises the living daylights out of the palette to make things look vaguely uncrappy. Any ad inserted would have to only use those colours (which are then very different from GIF to GIF). That's a tough sell for brand graphic designers. GIFs are also often short loops, breaking the loop with an ad, especially when inserted automatically, will break a high number, if not most, of the good GIFs in circulation. Doing anything dynamically also breaks caching which is probably undesirable when most of your business is pumping dumb bytes around the net.

Finally, you can't add a link. I guess it's still useful for brand advertising, but I suspect that's less valuable than the kind where you can directly track conversions.