For an out of the box system, Netshield works good indeed. If you want more customization and better granular control, you can achieve more with NextDNS. Out of the box, NextDNS is empty and you'll have to choose for yourself what you're blocking. Thus out of the box, Netshield is better. Once you're having a proper NextDNS config, you're likely to block a little more with NextDNS, based on personal experience.
You can check or benchmark the blocking as example here: https://d3ward.github.io/toolz/adblock.html
For that reason, personally I am using NextDNS.
Disclaimer:
- This is not officially endorsed by Proton VPN.
- Use at your own risk (like with any custom DNS)
- This will leak DNS requests on purpose outside of the Proton VPN Tunnel to NextDNS, with DoH enabled, for the purpose of a better customization of DNS blocking.
tl;dr: For a normal user, Netshield is good enough. For more technical user needing a better granular control, NextDNS bight be better. Read the disclaimer.