According to Apple, Private Relay may conflict with VPN-based apps, so either Firewall or Private Relay is likely to stop working if they are both enabled.
It means that many users will have to choose between any VPNs they use and iCloud Private Relay in the near future unless the company changes how Private Relay works.
The good news is that Firewall covers Private Relay's functionality by preventing in-app trackers from collecting personal data and sending it to remote servers.
Also, suppose you choose Apple's tool over Firewall. In that case, all the perks of content blocking in Safari, including YouTube ad-blocking, are still available to you as Safari content blocking is handled by a different tool.