@android4life You are not really connecting to a VPN using Block This. It is just a clever workaround for the permissions in Android as hosts files and DNS entries only work on ROOTED phones. None of your traffic is passed through a VPN, so it is as fast as it possibly can be.
Good question. I'm just another user of Block this, but I think the apk should work with either Wi-Fi or cell connections. And may actually make your connections more secure, as it filters for malware as well as ads. I've not seen nor heard of anyone having issues on Wi-Fi, so give it shot. You may need to temporarily disable "Verify apps" in your Google Security Settings besides enabling "download from unknown sources" in regular security settings. Good luck.