My experience is that Pihole has been getting less effective over time as more and more ads are being run through the same domain that legitimate content is. When I first installed it it killed ads on my Roku, that doesn’t happen anymore.
What apps on your roku? I had to whitelist a Hulu domain cause it froze when trying to load ads during commercials for example, but when I look at the logs it’s blocking a ton of telemetry and phoning home 24/7 by Roku and Alexa devices.
Are you regularly updating your ad blocking filters? When ads start showing up on my phone I know it’s time to go hit the update button.