Macat12 I think you are right because the request is sent to the RPi which has an IPtables policy. The Pi-hole has always provided a fake domain response for ads. Due to IPtable listening for incoming packets on port 80 and forwarding them to Privoxy port 8118, it blocks even more ads. However, this does not use all Privoxys has to offer and only helps when the DNS trick is not working.
P.S.
If anyone is having Privoxys service fail on boot, tell Raspbian to start it later:
sudo nano /etc/rc.local
/bin/sleep 20 && /etc/init.d/privoxy start