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In my experience, it works a little better if you add some more third party blocklists and custom RegEx.
However, the main pain point is the first one you mentioned: if the ads come from the same server as the content, blocking the ads also blocks the content. So you do have to rely on other solutions to block ads of that nature.
Chiming in a bit further on this. Quite a few (Google) devices and apps have started using DNS over Https servers to circumvent things like pihole. Blocking known IP’s on my firewall has helped effectiveness quite a bit.