I don't want the traffic to go out through the VPS location, it is different from my location, in addition to how annoying it is to activate the VPN and have it always connected.
Before using VPN I prefer to use an Adguard-type DNS although it compromises privacy by depending on a third party.
Buy a basic machine and use it physically, with all the annoying things that entails, making a space near the router, the noise and making sure it is always on.
How incredibly difficult it is to block ads on non-rooted Android devices, just DNS and annoying VPNs.
You can easily run Pi-hole on a Pi Zero W over WiFi. I've had this setup for 6 years on now, with no problems. If you are worried about "always on", put it on the same power source as the router. Power strip, UPS, etc.
You can also run Pi-hole in a VM or Docker on most devices that you have at home that run 24/7 (server, NAS, etc.).
How could the one in the photo work? It seems to me that they are at the same price as the Raspberry Pi Zero, but here they do not charge shipping, plus it has an RJ45 input.
And how complicated can it be? I know absolutely nothing about these mini boards
Not very. Get the SBC, a power supply of adequate capacity, and an SD card (recommend a good quality 32 GB card to extend card life). And an ethernet cable if you connect it to the LAN via ethernet.
Flash an OS on the card from your computer (Raspberry Pi Imager recommended), put the card in the SBC and boot it. You can set up SSH with the imager or by putting a blank file named ssh in the boot directory of the card after you flash it.
Once the SBC is set up, install Pi-hole on it the same as you did on the VPS. You ssh into the Pi from your computer.