Still Stuck on Ursa... Doing Great With Veno!

Ursa wants Blink Dagger ASAP. Don't rush Vlads, that's a bad idea, you only need Morbid Mask if you want to Rosh early.
When playing Ursa I really recommend going naked blink. You can finish Vlads and whatever after you have blink and start getting kills with it.

Vlads and dagger are about the same price. An Ursa with vlads and no blink is useless. An Ursa with blink and no Vlads owns.

Hey again! Rosh is still very useful in the Early game if you can take it. It not only gives you the aegis but you get a lot of solo experience assuming you take it alone, and it also provides gold to all of your teammates. Make sure you ask your team to group up with you and push when you have the aegis though, it's very important to force teamfights when you have it because you are essentially 6v5, in a way. As for items, you don't want Linken's except against specific spells, there are a few single target spells that go through magic immunity, like Fiend's Grip: Bane's ult, and Dismember: Pudge's ult. Generally speaking, unless there is an important spell that goes through BKB or the enemy team doesn't have much magic damage in general, it's better to just buy BKB. Desolator is a good item, since Fury Swipes does physical damage, so removing armour will amplify it. You can also build Bloodthorn as it's very useful for killing enemies who are hard to catch, like Puck, and in general gives you pretty good damage. And you definitely want Abyssal Blade at some point as it also gives you lockdown which goes through BKB, so you can blink next to someone, use Abyssal and destroy them.

Venomancer is a pretty nice hero. Yeah, plague wards are magic immune, so they can only be killed by auto attacks, this makes them really annoying for the enemy team to deal with in the early game. As for Arcane Boots vs Boots of Travel, you can buy the Arcane Boots, and then disassemble them when you buy your Aether Lens, using the energy booster you have from the boots already, and then upgrade your existing Brown Boots into Boots of Travel later.

Good luck!