As boybacteria said, the MobileAdvert plugin only works when in a "Mobile" export ( Android or iOS ). This is because it relies on native libraries which are unavailable as a web export.
We have had some requests in the past to show "test content" instead when using preview, but I think this will cause additional confusion for users who may expect it to work in web exports.
It would actually be very helpful for adjusting the position of Ads. Sometimes we need to rearrange the layout a bit according to a ads position/size, and this requires some iterations (Change->Build->Test->Repeat).
Is it possible to show a white sprite with "PREVIEW AD. This Ad Will Work Only on MOBILE" message?