To answer your request in more detail: it makes use of a feature that has been around since iOS 7: VPN On Demand[1]. The idea behind VPN On Demand is that requests can be routed to different VPNs (or accessed normally) based on the hostname of a request. This is useful if you get an email from work that has an intranet-only accessible website. Clicking on the link could load a connection to the company VPN for only that work domain without also sending all of your personal traffic through the company VPN. In the case of MadBlocker, I just direct requests for ad hostnames to a bogus local IP, and the ads never load.
That said, while it works in Safari and in most apps, it may not work in apps that implement their own networking or DNS retrieval, which Chrome seems to do.
> Shouldn't request be redirected the moment they are made, and not before?
Yeah, that is what happens, but since every request is checked against the list (since we don't know a priori which request is for an ad), it can take noticeable time on sites that include assets from many external domains (if using the "mega" list or depressingly-long privacy protection list).