Yes, but if it's really about ad spend and not being physically present, why do they spend so much time being physically present in a tiny state?

Because of primary campaign dynamics where those are literally the only stayed voting at the time, and underperforming there means you have no money, no positive news coverage and no reason to campaign anywhere else. So all energy goes into them at a certain point in the nomination campaign. (As a rough approximation.)

Totally different dynamic than general elections, which happen all at once rather than different dates in different states.