Make sure that the app is added to the list of filtered apps in SettingsNetworkList of filtered applications. If not, add it there by clicking the + icon in the bottom left corner.
If it didn't help, while on SettingsNetwork screen, change the state of the Use WFP network driver checkbox. This may cause ads to appear in native Windows apps from the Microsoft Store.

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AdGuard download has started Click the button indicated by the arrow to start the installation. Select "Open" and click "OK", then wait for the file to be downloaded. In the opened window, drag the AdGuard icon to the "Applications" folder. Thank you for choosing AdGuard! Select "Open" and click "OK", then wait for the file to be downloaded. In the opened window, click "Install". Thank you for choosing AdGuard! Install AdGuard for mobile devices as well: