I have attempted to use Opera’s propitious built-in ad blocker a couple versions back.
I have also noticed ads getting through. These were typically the annoying ones users do not wish to see. It also likes (or ‘liked’ if it has been fixed) to break certain websites. The sites had not a single form of ads present yet 50 per cent of their content was getting blocked forcing me to white list sites constantly.
I had grown tired of it within a few days and switched back to uBlock. The only real advantage of the built-in ad blocker is perhaps a little more battery life on a portable machine. The couple more CPU cycles by uBlock do not make a difference on a modern PC while also providing its users with additional features.