I've removed all my policy rules now and it's still happening. I'm not sure if it's an issue with my setup, Unbound or the script itself. All ads are blocked on devices set to the VPN and only some ads are blocked when set to WAN.
How to replicate this issue:
1. Set a device to policy rules: VPN client 1.
2. Go to
https://canyoublockit.com/extreme-test/.
3. See if you get any ads.
4. Set the same device to policy rules: WAN.
5. Clear your browsers cache.
6. Go to the same website.
7. See if you get any ads this time.