Why don't airliner winglets have consumer advertising on them?
Why airlines don't put third-party ads on winglets

I would assume that a significant part of the answer is that it would look and feel cheap (i.e. not good for the airline's brand image.) They don't usually sell advertising elsewhere on their livery for much the same reason (though they do occasionally dedicate a livery to advertising some charity or some such thing, but that doesn't normally hurt their brand image.) On the other hand, putting the airline's brand image there can possibly help to improve it.

While you are already on the airline's flight, they'd be quite happy if you purchased more flights with them in the future and even more happy if you purchase the tickets directly from their website where they don't have to share the revenue with a travel agent. An additional benefit of mentioning the website is that many airlines now have on-board Wi-Fi and allow you to access their website from it even if you haven't paid for the Wi-Fi. As such, if they can get you thinking about their website and you happen to hop on it and book your next trip while cruising around at 30,000 feet, that's a win for them.

Finally, while they do already have you on board, they're well aware that lots of people post pictures taken while they were on a flight, especially pictures that include the wing (such as the one in the question.) Now your pictures are free (and usually positive) advertising for them.



Vinyl Wraps / Decals

As far as wraps are concerned, as far as I know, yes, they're legal and actually pretty common, even for the fuselage livery. My understanding is that lessors use them pretty frequently. They've also been used for temporary liveries like this one:



It appears that several companies exist for the sole purpose of making aircraft wraps. A quick search found the following:

AdGraphics
AircraftWraps
Plane Vinyl  

It appears that 3M makes a lot of the materials used for the wraps.

I also found an FAA document on aircraft coatings that talks about how to apply vinyl decals to aircraft (along with how to paint aircraft, etc.) From page 18:


  Vinyl Film Decals
  To apply vinyl film decals, separate the paper backing from the plastic film. Remove any paper backing adhering to the adhesive by rubbing the area gently with a clean cloth saturated with water. Remove small pieces of remaining paper with masking tape.  
  
  
  Place vinyl film, adhesive side up, on a clean porous
  surface, such as wood or blotter paper.  
  Apply recommended activator to the adhesive in firm,
  even strokes to the adhesive side of decal.  
  Position the decal in the proper location, while
  adhesive is still tacky, with only one edge contacting
  the prepared surface.  
  Work a roller across the decal with overlapping strokes
  until all air bubbles are removed.
  


This page from signindustry.com goes into more detail about how to apply vinyl decals to aircraft from a professional installer standpoint.