It works like a charm indeed, I run the WireGuard client on all my devices (laptop, phone, tablet) in on-demand activation mode (VPN activates whenever I leave my home WiFi), and configured them them to use the PiHole server as DNS, so I have ad-blocking on all my devices, all the time. I don't perceive any kind of negative effect on network performance (it helps to have fiber with symmetric up/down speeds for this setup)