Yes, modern ejection seats have rocket motors, but they are only for propelling the seat away from the aircraft and upwards, high enough for safe parachute deployment. An escape from enemy territory is not possible with them.
They are controlled by a guiding system inside the seat, but not by the pilot. Ejection by itself is stressful enough, controlling the seat would be too much for any pilot.
Nevertheless, this is impressive technology. Even when ejected pointing downward at low altitude, the seat will change course and lift the pilot up.
The seat featured in the linked video is the Russian Zvezda K-36, the only ejection seat which meets or exceeds all US Air Force performance demands.
To get downed pilots out from enemy territory the armed forces use helicopters. To build such a capacity into the seat would make it impossibly heavy and dangerous - would you like to sit on hundreds of kilos of jet or rocket fuel while being shot at? Just for the chance of flying home after ejection? And how deep are you allowed to fly into enemy territory for the system to work? No, this idea is a dead end.
The most promising concept today is to separate the pilot from the airplane, so he sits thousands of miles away while his craft flies deep into enemy territory.