uBlock Origin also blocks non-tracking first-party ads, while Brave doesn’t block them because it considers them legitimate (after all, Brave itself uses first-party ads).
Also, uBlock Origin has a very long list of blacklists, and the more lists you choose, the more ads get blocked, no matter if they are third-party or first-party. However, those lists require more CPU and slow down your browser.
On a rough estimate, I’d say Shields blocks 85%-90% of what a standard configuration of uBO would block, but it doesn’t slow down your browser because it’s integrated and optimized. Besides, you can report the websites that don’t work properly. If you want to block the remaining 10%, you can install uBO or, like you said, you can switch on the “aggressive” mode.
That being said, I consider uBlock Origin the best extension ever, although it becomes useless with Brave.