PiHole setup on Docker on Windows is not Blocking Ads

uBlock Origin and Pi-Hole follow different blocking approaches - they complement each other.

Pi-hole does suppress DNS answers for unwanted domain names and will do so for DNS request from your entire network, regardless whether that has been issued by an OS, browser, app, IoT appliance or any other source.

uBlock Origin is a browser extension, and as such, it allows fine-grained control of filtering below domain level, e.g. blocking certain images or scripts.
However, a browser extension does only filter traffic from a specific browser and has to be installed on every device in every browser you are using.

It makes sense to use both.
It's also to be expected that ads usually blocked by uBlock may show again once you disable uBlock, despite Pi-hole filtering DNS requests, e.g. if those ads where sourced by a script.