Sometimes the ads and the video are on the same Server like YouTube for example so you need Client side software to filter them out.
Another option is that the ad needs to be loaded first in order to view the video after it and if it doesn't then you can't view the video either despite it being on a different Server than the ad is...
yeah a lot of news apps glue the preroll and the stream on the same host, so DNS blocking kills both.
what usually works for me is grabbing the blocked domain from the query log while the video fails, then either whitelist that one domain for that client, or put the phone/app on a pihole group with a lighter list. Query Log, click the domain, Whitelist is the quick path. if the same domain serves ads and video you will not fully win with DNS alone and a browser or app side blocker is less painful.
Funny story about something I have seen recently :
Website hates my Pi-Hole Blocked Domains List and won't show me the website anymore when I visit it so it shows me a "You are being naughty for blocking ads!!!" webpage via a very fast re-direct.
But when I use Firefox or LibreWolf with uBlock Origin activated then it removes all this nonsense together with the whitespace of the blocked ads for me and shows me their website without any issues