Pi-hole will also catch all kinds of tracking and analytics requests that are sent via your mobile devices, non-browser apps, etc. There's a whole lot more of your data leaking out into the world than just the stuff that comes and goes via ad networks.
You only need to set it up once per network, instead of once per browser, and it is capable of filtering (most) ads even on closed platforms (e.g. apps on non-rooted phones).
The downside is that it is much less granular and harder to set up exceptions.
I'm not the maker of the app not can vouch for its integrity but you get a sense of how much network bandwidth ad and tracking takes up on your network.
This doesn't really explain how a PiHole compares to an ad blocking extension. Both block ads at the network level so your browser never has to download them.