ZennoDroid is blocking ads in Memu but not in the latest version of emulator, since memu often changes the way it displays the ads.
You should use latest ZennoDroid version and NOT the latest Memu emulator.
Advertising in Memu also can be blocked using special launcher.
You should copy this launcher instead of default to the folder /system/priv-app/Launcher in Memu.
Thanks to @hulk45 for this solution.