I just got inpatient and reinstalled the app. It didn't help, you have to reset the Settings (or completely delete all files via App Cleaner..). Now it works again, but that process is annoying, hopefully it will be fixed in the next version. :)
Same issue here. Using Cataline 10.15.6 with the setapp version of adguard (2.4.9.810 setapp (CL-1.5.269)).
One I deactivated it, I can't reactivate it anymore.