Ad blocking plugins typically load the entire Webpage (ads included) and then run some scripts to detect and hide the ads. This is the sort of thing ad blocking testers will test for.
Since Pi-hole prevents ads from being downloaded in the first place by intercepting the DNS request, these traditional ad block testers will often present a false-positive since they are not checking for this sort of activity. It's not always the case, but they aren't the most reliable way to test if your Pi-hole is actually blocking ads. That is bound to change as DNS-based ad blockers continue to gain adoption, but for now, this is the reason why it doesn't always work.
We've put together a list of sites and pages that have a lot of ads on them. You should see some decent activity in your Pi-hole's Web interface after visiting these sites; and you should not see advertisements!