No, Pihole doesn’t help.

I think the reason you say you haven’t seen an ad on Windows is because the ads aren’t the traditional ads like you see on a webpage.

When someone talks about an ad on Windows, they are referring to the Spotify app presinstalled in the Start Menu, the OneDrive prompt for backing up during setup, and the weather bug on the taskbar that brings up news if you click it.

You might think that a weather widget isn’t an ad, but the idea is you click it, see a relevant news article, click the news article and you are taken to a traditional webpage with ads.