in order to do some kind of a "clear" removal of ads you would need to parse the website and remove the components which show the advertisment. Otherwise MWG will just replace the requested object with a block page, which leads to the result you showed in the screenshot. Doing such kind of ad removal is possible but might cause trouble in regards to load and performance, since MWG has to look into a website.
If you are just looking for a solution for a single website this should be doable, but building a global advertising filter on MWG might be difficult. You could try replacing the advertisments with a small/transparent image, rather than applying a block page and see how the result changes. However there is no built-in "remove" for advertisments.