The problem here turns out to be that MacOS was installed on a case-sensitive filesystem.
The iAd Framework (note the camelCase with uppercase A and lowercase d) still exists in the iOS SDK at this location:
% ls /Applications/Xcode.app/Contents/Developer/Platforms/iPhoneOS.platform/Developer/SDKs/iPhoneOS.sdk/System/Library/Frameworks/iAd.framework
Headers iAd.tbd Modules
However, UE 5.6.1 and all previous releases contain build instructions to link with the iAD framework.
The same problem prevents linking with the CloudKit framework, because UE tries to link with a different framework named “Cloudkit” (lowercase k) which, on a case-insensitive filesystem like APFS isn’t viewed as a different path.
NOTE: my installation of UE 5.6.1 uses an APFS case-insensitive Volume, which I suspect will work fine now that I know where to look for dependencies during the build process that might be case sensitive. Providing the required frameworks or library files in a subdirectory created under my APFS Volume and adding -F/Volumes/UEBuild to my linker settings lets me continue the build process to find out if some other case-sensitive build step is going to fail next. I don’t have the iOS App building completely yet, now I need to pay Apple for a developer account so I can use code signing.