Why does PJ need me to accept advertising cookies to watch videos?

So, the band has made some videos available in its "Inside" section of the website. I usually keep my browsers from accepting too many cookies, but it appears the band won't allow me to watch these videos unless I agree to let them advertise to me. I've tried accepting all other cookies (Functional, Analytics, Performance, even Uncategorized), but it still won't let me play the videos. I don't want to accept advertising cookies and don't understand why a site like PJ, which doesn't have ads, needs me to accept these cookies. Is the band selling our information to someone? What need to they have for these cookies?