A simple question, just to be sure. The custom DNS servers used by the VPN client do filter ads/trackers, right? (using the AdGuard DNS filer) This setup is circumventing AdGuard Home.
Nope, it does not, we use AdGuard DNS non-filtering by default.
However, we're going to add an option to configure custom DNS server in the VPN client so that you could use whichever DNS server you like (including AG Home if you have it).