So what you would do is to generate the manifest files (HLS/DASH/what have you) on the fly to include the segments with ads. Since adaptive streaming is based on manifests, that stitch together segments of video files that together make up the underlying content in different bitrates, you can essentially just push in a few segments of advertising in-between the segments representing the underlying content. This isn’t particularly hard to do, and you’d get the full benefit of the CDN for the segments, so there’s really no issue.
So what you would do is to generate the manifest files (HLS/DASH/what have you) on the fly to include the segments with ads. Since adaptive streaming is based on manifests, that stitch together segments of video files that together make up the underlying content in different bitrates, you can essentially just push in a few segments of advertising in-between the segments representing the underlying content. This isn’t particularly hard to do, and you’d get the full benefit of the CDN for the segments, so there’s really no issue.