The main purpose of the Firewall is to protect your privacy against in-app tracking.

While it may block some ads along the way, not all ads can be blocked using this approach. For example, YouTube and Instagram in-app ads are impossible to block even with Firewall enabled.

It's currently impossible to target specific ads, so we see ad-blocking inside apps as a nice addition to Firewall, while its principal goal is to prevent trackers from collecting your personal information.