I have personally had much luck with limiting signups from previously punished users by using Signup abuse detection and blocking by Xon. This wouldn't necessarily block VPN and proxy connections entirely to your domain, but it would reduce the number of punished users coming back. I'd never recommend blocking VPN and proxy connections ultimately to a domain though, it can cause significant issues for a lot of users depending on ISP.
For blocking Adblock users, you could use Ads Manager 2 by Siropu—would also bring a bunch more functionality to the table then the built-in advert system in XenForo.