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LG smart TVs caught logging audio with screen off and snooping on local devices
(www.notebookcheck.net)
This is a most excellent place for technology news and articles.
Pihole runs a dns service for your network, translating server names to ip addresses. The block lists keep certain ads, malware and other unwanted behavior from functioning, but only those that can be blocked this way. Not all ads and malware can be. For instance it can't block YouTube ads so browser extensions like UBlock Origin are still useful but it certainly blocks a lot of stuff.
It also depends on how the ads are built into the service. I used to run PiHole, but now use AdGuardHome (still on r-pi though).
Some phone apps have their ads blocked but not all. If you're using any apps or games that have ad-based rewards or features it will break.
If I may clarify / simplify on the answers: