If you are still seeing ads with airplane mode enabled, then those ads were cached on your phone before you ever started Block-This. What you need to do, is clear the cache for any game, or app, or streaming apps just after enabling Block-This. And if they stored ads in data, well that might need clearing, but that's only a last resort, because it's like a fresh install after clearing data, meaning you loose everything, as the warning would show before hitting the button to proceed.
Once you turn off internet access, on device, where do you think those ads came from? Your lack of knowledge, and experience are showing, and I would further ask, where did you download the game apps from in the first place. That could be can even worse problem if it's a pirated app, or clone found on some shady app store.