A pi-hole simply black holes DNS lookups from known advertising networks and malicious domains, so your computer is unable to connect to those domains. This is good because you probably want to block those domains, but it doesn't protect against everything. Adblocking in browser using uBlock Origin will achieve similar results, but only applies to the browser, not other applications on your computer, or say your phone or IoT device on the same network, which does DNS lookups via pi-hole. Both pi-hole and uBlock Origin do not provide any protection from hiding your real IP or your location. This is where a VPN comes in.
Personally, at the router, I black hole a minimal set of hosts from lists I know I will never want anything connecting to. For example, you could use one of the OISD lists: https://oisd.nl/. Then in your browser, you can add uBlock Origin and add more lists which you can selectively allow on websites. uBlock Origin has lists which block against internet annoyances, which pi-hole can't block against (since it's blocking DOM objects, and not DNS lookups). This is also useful because it's easier to control uBlock Origin in the browser, and you can disable it for only some sites. Adding a VPN in addition to this satisfies IP and location hiding, which you can add on the whole router if it supports that, or just your computer/browser if you want.