There was a moment in the first series of Mad Men when the central character, the 1960s advertising man Don Draper, self-consciously addressed what the show was really about.

Nostalgia, he said, is like a pain from an old wound. It's like a carousel that takes us round and round and back home to a place where we know we're loved. It's like a twinge in your heart. It's delicate but potent.

Which is fine, and typical of Draper's shiny flim-flam, but – like almost everything else advertisers say – it's not really as complicated as all that. Nostalgia is just a sentimental memory of the past edited to leave the bad bits out. What's always been clever and interesting about Mad Men, which returned on Sky Atlantic this week (Tuesday, 9pm), is it leaves the bad bits in. It says to you: come and look at the way we used to live; come and look at the sexism, the racism, the anti-Semitism, the homophobia; come and look at the ugliness in beautiful clothes.

The fifth season opened in the same way. The men of Sterling Draper are in the office; outside are civil rights campaigners protesting against racism. The advertisers throw water bombs over the protesters but one of the women who is hit comes up to the office, her dress dripping with water. "And you call us savages," she says.

That's a typical Mad Men moment and exactly what the show has always been good at: reminding us of the progress but always with wit and style. There was another of these moments later in the episode when a crowd turned up at the agency after hearing a job was going. Draper's colleague Howard came out to address them. "We're only looking for secretaries," he says. "So gentlemen you're free to go."

Draper, played by Jon Hamm, has always been the centre of this style-and-substance dynamic. This week he was heading up an ad campaign for Heinz, and the idea was to have the beans swirling through the air like ballet dancers. It was the usual thing: how can we make this tin seem like something important? How can we make these beans more than beans?

And then, in a nice touch from Sky Atlantic, we switched to the advertising break and all the ads were real ones from the 1950s and 1960s. Here's the man in black: "And all because the lady loves Milk Tray." And the woman at the sink: "Hands that do dishes can feel as soft as your face." And Tony Hancock having his breakfast: "Go to work on an egg."

Don Draper has always said in Mad Men that these kinds of ads are about happiness. He says happiness is the smell of a new car or a billboard that reassures you that whatever you're doing is OK. But the ads – and every episode of Mad Men I've ever seen – remind me that it's much more negative than that. Advertising is the one thing that hasn't changed since the 1960s. We've made progress on racism, sexism and homophobia, but the ad breaks in between are still doing what they've always done: sticking labels on everything, including us. Advertising labelled us then, and it labels us now.