They do, and they have for all the years I've used this configuration (which is more than a few). I recently added a Pi-Hole on the network for greater ad-blocking coverage across my devices (though with mixed success depending on the device) and that hasn't affected anything negatively. I still get the ads if I watch via Roku. Haven't really tried on my phone, but I'm having troubles with audio streaming on it this year while using a VPN app to kill ads there.