s/connections/attempted &/

Yes, I do this always.

For me, the ad blocking is most easily done via DNS. djbdns features make it especially easy. I have been using DNS to block ads especially in app ads for several years now. Never expected it to work so well (such heavy reliance on DNS by developers), but it does.

There are of course other ways besides DNS to block unwanted connections including ones to Apple and third party ad servers.

As for Apple's VPN capabilities, I have experimented with xl2tpd but not as a way to block ads.