My prefix is a sneaky ad.
My suffix isn't yet closed.
My infix does sound rad.
My whole is evil and cold.
My prefix is a sneaky ad
In marketing, a product demonstration (or "demo" for short) is a promotion where a product is demonstrated to potential customers.
A game demo version could also be considered an ad.
My suffix isn't yet closed
It's on, meaning not off or closed
My infix does sound rad
Not sure about that, maybe emo just sounds cool and OP likes the 2000s? :)
My whole is evil and cold
A demon is arguably evil, and 'cold' in the sense of lack of emotion, friendliness, or compassion