Agreed. I mentioned it in reply to another comment, but I put PiVPN on the same RPi Zero W and use Open Connect on my phone to connect to that VPN into my home network when I'm away from home. I get all of the same protection and ad blocking no matter where I am.

The only negative is that sometimes you need to figure out why some apps don't work. For example, PiHole was blocking some tracking URL from Epic Games that prevented me from being able to sign in, and it also blocked some tracking URL from Aetna that prevented one of their apps from working on my phone. Eventually you reach a point where you've unblocked enough that everything works for the most part and you still get decent privacy and protection, though