//So Scotland can legally hold an Advisory Referendum like the EU Referendum.//
Yes they can. The difference is that the advisory referendum held on EU membership was held by the UK government. That government pledged to fulfil the result and had the power to do so. Although the government which allowed the referendum departed before we left the EU, their successors (after a struggle) kept to the pledge.
The Scottish government has no such power. It knows it hasn't and is threatening to hold its advisory referendum so that (if the result goes its way) it can use that as leverage for an officially sanctioned vote. There is no question that constitutionally the Scottish government does not have the power to hold a binding referendum and the power to allow Scottish independence rests with Westminster. Declaring independence without the agreement of the Westminster Parliament would be seen as the sequel to "Passport to Pimlico":
https://en.wikipedia.org/wiki/Passport_to_Pimlico