There is no clear cut answer... Well no, actually there is. Although "mehlindi" is correct regarding the Big Brother issue and Davina MacColl specifically, there is no law laid down by either the Advertising Standards Authority or the Independent Television Commission which stipulates that "a celebrity" cannot appear in a commercial break during a programme being aired in which he or she appears. So the answer is 'no', it's not true.
However, in the Davina/Big Brother issue, the BACC felt that the ad's content (which allegedly shows Ms MacColl speaking to her own mother on the phone) COMBINED with the fact that Big Brother is considered a "reality TV" programme, and relies on income generated from phone voting, could confuse some viewers (obviously only the stupid ones!) that portraying Ms MacColl on the phone in the ad break of a show reliant on phone voting could be misleading. The additional gripe of the BACC was that Davina MacColl was the HOST of the reality show concerned.
Quick example: If David Beckham was a GUEST on Parkinson, they could still show Beckham in an ad for Adidas or Gillette during the commercial break. What they couldn't do is show an ad with Michael Parkinson in it, because he is the HOST of the show.