The server-side playlist in WMS is treated as one atomic unit so you can cache/proxy the whole playlist but not just selected entries.
In this case you have an ad and live stream.
1. If stream splitting is enabled then cache/proxy server will make a single connection to origin server. That means once ad is done and live broadcast starts all succeeding client s will only see live broadcast (which is not what is desired)
2. By disabling stream splitting each client wil get the ad and live stream but then each client will result in a separate connection to the orign server.
The way to solve this problem is use distribution scenario. (i.e use the cache-proxy server as a distribution server).
1. On the distribution server create a broadcast publishing point that is pointing to the live stream (or a publishing point on origin server without any wrapper playlist)
2. Create a wrapper palylist on this publishing point
This will work exactly as you expect. Each client will get an ad and then live stream. One one connection from distribution server to origin server.