Sure, but that's not the setup you described in the original post. I think that's probably where your confusion is coming from - people are responding about a setup that's just a PiHole, not a PiHole plus router features to ensure that it's used.
Ultimately any setup that allows the device internet access is going to introduce some opportunities for tracking/telemetry/ads. If the vendor really wants to they could just channel all that data through a single HTTPS connection, along with the useful data you want to let the device access. You won't have any way to inspect that traffic and selectively block it, so you end up having to chose between blocking everything or blocking nothing.
Your setup sounds like it's reaching the privacy/functionality trade off that you want.
They tested using a green light for the front brake light, not a red one