It is not possible to run many firewall and ad-blocking apps along with VPN apps on Android phones without rooting. Why? Because most firewall and ad-blocking apps (such as AdGuard for Android) use local VPN interface and Android doesn't allow use of local VPN interface + non-local VPN interface at the same time... One way to resolve this is to somehow allow use of local VPN interface + non-local VPN interface OR allow use of local proxy without root. At the moment, you can run AdGuard for Android + any VPN if you root your device, which allows AdGuard for Android to run as TCP proxy, but rooting is not secure. It would be nice to allow such proxies to run without root.