Yes, you can. There are two operation modes in AdGuard VPN. In General mode, VPN works everywhere except websites added to exclusions. And vice versa, in Selective mode, VPN works nowhere but on websites added to exclusions.
You can add websites to exclusions manually or choose among the lists of popular services. The lists are divided into eight categories: Social networks, Messengers, Video and Music streaming services, Games, Shopping, Search engines, and Work communication tools.