When you start Blokada for the first time, you will be asked to allow to create a VPN Configuration. This is necessary for Blokada to function.
Blokada creates a "fake" VPN Configuration which allows it to block ads. This is not a real VPN (Virtual Private Network), so you will not get benefits of a VPN, like hidden IP address, changed location or speed. Those features are available in Blokada Plus.
Remember, Blokada does not monitor your private data at any point. It will only block connections towards advertising platforms.