The game is Wild Racing 9 (the made-for-china version of Asphalt 9) and when you launch it, it tries to download an appgallery ad, but since I'm quite far from the chinese servers (I'm from Costa Rica) it mostly times out.
And no the "Don't show again" option does not get rid of all ads. It just does not show that specific ad in general.
Don't put your finger in the socket and then complain of the shock